Physical activity has long been considered beneficial to health and regular exercise is purported to relieve stress. However empirical evidence demonstrating these effects is limited. In this study, we compared psychophysiological responses to an acute psychosocial stressor between individuals who did, or did not, report regular physical exercise. Healthy men and women ( N = 111) participated in two experimental sessions, one with the Trier Social Stress Test (TSST) and one with a non-stressful control task. We measured heart rate, blood pressure, cortisol, and self-reported mood before and at repeated times after the tasks. Individuals who reported physical exercise at least once per week exhibited lower heart rate at rest than non-exercisers, but the groups did not differ in their cardiovascular responses to the TSST. Level of habitual exercise did not influence self-reported mood before the tasks, but non-exercisers reported a greater decline in positive affect after the TSST in comparison to exercisers. These findings provide modest support for claims that regular exercise protects against the negative emotional consequences of stress, and suggest that exercise has beneficial effects in healthy individuals. These findings are limited by their correlational nature, and future prospective controlled studies on the effects of regular exercise on response to acute stress are needed.