Aerobically fit persons need less sympathetic activation to perform the same absolute workload than less fit persons. This led to the idea that aerobic fitness might reduce the physiological activation during psychological stress as well. Several experiments showed inconsistent results with regard to this supposed effect of fitness. The comparability of the results is hampered by the differences in operationalization of aerobic fitness and by the confusion of the terms aerobic fitness, training and habitual physical exercise. The expectancy of an effect of fitness on the physiological stress response is based on the assumption that this response resembles the response to exercise. The tenability of this assumption was examined for cardiac, vascular and hormonal responses respectively. It was concluded that the two types of responses only superficially have similarity. So a simple analogy between the stress and the exercise response does not allow a reliable prediction concerning the effect of fitness on the stress response. There are however other reasons to expect an effect. Especially the effect of fitness on adrenoceptor sensitivity suggests that the most important effect of fitness might be found in the vascular part of the stress response. It is argued that the measurement of complete response patterns, instead of isolated parameters, is a prerequisite for progress in this field. Future studies should address the question what the relative contribution of psychological and physiological factors is to the effect of fitness on the physiological stress response.