Adolescence is quite often a period of personal adjustment and stress, and previous research has found that adolescents are vulnerable to the negative effects of stressful life events. The present research sought to determine whether a subset of adolescent girls, those who routinely engage in physical exercise, escape stress-induced disturbances in physical and psychological well-being. Self-report measures of stressful life events, physical and emotional well-being, and exercise habits were obtained from 220 females of secondary school age. In accordance with experimental hypotheses, stress had a substantial debilitating effect on physical and emotional health among persons who reported exercising infrequently but not among those who reported exercising regularly. Potential mediating mechanisms are identified and implications of the findings for primary prevention programs targeted toward adolescents are discussed.