Preclinical studies suggest that stress exerts depressogenic effects by impairing hedonic capacity; in humans, however, the precise mechanisms linking stress and depression are largely unknown. As an initial step towards better understanding the association between stress and anhedonia, the present study tested, in two independent samples, whether individuals reporting elevated stress exhibit decreased hedonic capacity. The Perceived Stress Scale (PSS) measured the degree to which participants appraised their daily life as unpredictable, uncontrollable, and overwhelming. Hedonic capacity was objectively assessed using a signal-detection task based on a differential reinforcement schedule. Decreased reward responsiveness (i.e., the participants' propensity to modulate behavior as a function of reward) was used as an operational measure of hedonic capacity. In both Study 1 (n=88) and Study 2 (n=80), participants with high PSS scores displayed blunted reward responsiveness and reported elevated anhedonic symptoms. Additionally, PSS scores predicted reduced reward responsiveness even after controlling for general distress and anxiety symptoms. These findings are consistent with preclinical data highlighting links between stress and anhedonia, and offer promising insights into potential mechanisms linking stress to depression.