Best way to power an arduino, servos, steppers, and LEDs on one power supply

If you run from one power supply, you just got to make sure that this power supply has adequate power handling...... Then you can could use a combination of DC-to-DC converters.... eg. buck converter or boost converter generate other required regulated voltages.

If the 'parent' (main) supply has high enough voltage, then you could possibly use buck-converters (step-down) only (without needing boost-converters, step-up).