Both, psychosocial stress and exercise in the past have been used as stressors to elevate saliva cortisol and change state anxiety levels. In the present study, high-school students at the age of 14 were randomly assigned to three experimental groups: (1) an exercise group (n = 18), that was running 15 minutes at a medium intensity level of 65-75% HRmax, (2) a psychosocial stress group (n = 19), and (3) a control group (n = 18). The psychosocial stress was induced to the students by completing a standardized intelligence test under the assumption that their IQ scores would be made public in class. Results display that only psychosocial stress but not exercise was able to significantly increase cortisol levels but decreased cognitive state anxiety in adolescents. The psychosocial stress protocol applied here is proposed for use in future stress studies with children or adolescents in group settings, e.g., in school.