Interventions that reduce the magnitude of psychobiological responses are justified, at least in part, by the notion that exaggerated responses to stress can have detrimental effects on health. The biological processes underlying the association between stress and coronary heart disease (CHD) are thought to involve haemodynamic, neuroendocrine, inflammatory and haemostatic pathways. One of the many recognised benefits of exercise is in buffering physiological responses to psychosocial stressors, which is thought to be partly mediated by sympatho-inhibitory mechanisms, although other potentially important psychobiological processes such as inflammatory, neuroendocrine and haemostatic pathways have gained little attention. Thus, the present review focuses on the role of exercise in buffering psychobiological processes, particularly in relation to pathways that are directly relevant for reducing CHD risk. There are inconsistencies in the literature regarding the effects of exercise on cardiovascular responses to stressors, which may in part be accounted for by differences in experimental design, characteristics of participants, inadequate assessment of physical fitness, and the confounding effects of acute exercise. However, new emerging evidence suggests that exercise promotes an anti-inflammatory environment and increases tissue sensitivity to glucocorticoids, which may have implications for the effects of exercise on stress-induced inflammatory pathways. Future work should focus on the efficacy of exercise for promoting anti-inflammatory pathways in relation to psychosocial stress.