I think a Tory-lead "New Deal" would largely deal with public works, since welfare was still seen as shameful and a disincentive to work (er, moreso than now), and even a more radical leader will need to deal with his less-radical colleagues. If the government is just funding a whole lot of construction, they can spin it as an "employment strategy" or something. Stuff like the (OTL) Youth Training Act would also fit into this mindset nicely. Outright welfare programs would probably be avoided as much as possible, or implemented or spun in such a way that makes them less objectionable… maybe instead of a managed, means-tested welfare program they just do cash payments to the needy, like an early form of UBI (there's precedent— the conservative Social Credit in Alberta proposed much the same thing).
I'd agree with all of that, &, more to the point, I imagined a broad works program. Something like crop or drought insurance would have to be brought in, too, given Prairie weather (which I'd forgotten about til just now

).
For Stevens in particular, the Depression turned him against big business and their corrupt practices, so I think he'd lead a crusade there (good optics, too). foresterab's suggestion of taking on the pulp cartels seems reasonable to me.
That suggests he'd also go after the movie industry. Which makes me wonder if that doesn't contribute to the need for, & party/Parliament support for, a film (& theatre?) subsidy program, to make up for job losses. Same kind of thing applies to the pulp/paper companies: does it provoke support for book & magazine publishers, including (especially!) comics?
Given Canada does sue film companies to prevent block booking, does that influence the U.S. to do the same?
Given Stevens as PM leads to Cooper as PM, wouldn't he realize war in '38 leaves Britain very unprepared? (If the French don't point out it leaves them in a pretty nice fix.)