Finds from Stein's expeditions were shipped to London. These were initially documented on the premises of the British Museum and subsequently divided among institutions in the UK and India. The collection that was acquired by the British Museum now falls under the Departments of Asia, the Middle East, and Coins and Medals, while his papers and correspondence are in the central archives. Objects in the Asia department include archaeological finds from Xinjiang, as well as paintings, prints and textiles from the Library Cave (Cave 17), Dunhuang. These have been digitised with funding from the Mellon Foundation and are searchable on Collection online.

Stein's most famous and controversial expedition was to the Mogao Caves, Dunhuang. This is a vast Buddhist cave temple complex filled with magnificent wall paintings and clay sculptures primarily dating from the 4th to the 14th centuries. Stein arrived there in 1907 on his second expedition to China, which was funded by the Government of India (60%) and the British Museum (40%).  In 1900, a Daoist Abbot Wang Yuanlu (1849–1931), then caretaker of the site, uncovered a repository of manuscripts, documents, paintings, textiles and prints in a hidden cave around 2.9 metres squared and 2.7 metres high. Judging by written dates, the cave was sealed sometime in the early 11th century, probably in response to a potential threat to the area. It's been estimated that there were up to 50,000 items in the cave, mostly manuscripts. This cave is often called the 'Library Cave'. Since its discovery, Wang had started to give away or sell items from the repository to raise awareness and funds to repair the Mogao Caves. With the help of his Chinese assistant Jiang Xiaowan (1858–1922), Stein convinced Wang to sell him items from the repository. In the end, Stein paid four silver ingots for fifty bundles of Chinese and five bundles of Tibetan manuscripts, together with a group of paintings, textiles, prints and a few artefacts. Stein purchased additional manuscripts from Wang after he left Dunhuang through Jiang and again in 1914 during his next expedition.