Stress is encountered by every individual on a daily basis. Such encounters can be of a negative (distress) or a positive (eustress) nature. Excessive and chronic distress exposure is associated with numerous health problems affecting both physiological and psychological components of a person’s well-being. One mediating aspect of these occurrences is the responses of the neuroendocrine system with the body. Physical activity (i.e., exercise) produces large and dramatic changes in the neuroendocrine system as it serves as a “stressor” to the system. To this end, though, chronic engagement in physical activity leads to exercise training-induced adaptations within the neuroendocrine system that potentiate an individual’s ability to deal with distressful experiences and exposures. Therefore, becoming more physically fit and exercise trained is one potential adjunctive therapy available for clinicians to recommend in the treatment of health problems associated with chronic exposure to distress.