Physical activity has proven benefits for physical and psychological well-being and is associated with reduced responsiveness to physical stress. However, it is not clear to what extent physical activity also modulates the responsiveness to psychosocial stress. The purpose of this study was to evaluate whether the reduced responsiveness to physical stressors that has been observed in trained men can be generalized to the modulation of physiological and psychological responses to a psychosocial stressor. Twenty-two trained men (elite sportsmen) and 22 healthy untrained men were exposed to a standardized psychosocial laboratory stressor (Trier Social Stress Test). Adrenocortical (salivary free cortisol levels), autonomic (heart rate), and psychological responses (mood, calmness, anxiety) were repeatedly measured before and after stress exposure. In response to the stressor, cortisol levels and heart rate were significantly increased in both groups, without any baseline differences between groups. However, trained men exhibited significantly lower cortisol and heart rate responses to the stressor compared with untrained men. In addition, trained men showed significantly higher calmness and better mood, and a trend toward lower state anxiety during the stress protocol. On the whole, elite sportsmen showed reduced reactivity to the psychosocial stressor, characterized by lower adrenocortical, autonomic, and psychological stress responses. These results suggest that physical activity may provide a protective effect against stress-related disorders.