There is emerging empirical evidence indicating that differences in self‐reported sensory processing may be associated with differences in levels of stress in the adult populations. Understanding how sensory processing relates to stress is of clinical relevance, given the well‐established impact of stress on physical health, mental health and well‐being. Although several studies have examined the association between sensory processing and stress in adult populations, no published reviews have systematically summarised and synthesised these findings. We aimed to fill this gap by conducting a systematic review to synthesise the available evidence examining the association between self‐reported sensory processing and self‐reported measures of stress in the adult population. The review was conducted following the Preferred Reporting Items for Systematic Reviews and Meta‐Analyses (PRISMA‐S) checklist. Twenty studies were included in the final review. Quality assessment was conducted with the Mixed Methods Appraisal Tool. Overall, the evidence is strong for an association between differences in sensory processing and self‐reported stress in adults. This association was found across a range of populations and measures of stress, in cross‐sectional studies. The most commonly used measure of sensory processing was the Highly Sensitive Person Scale, which was consistently moderately associated with a range of measures of stress. The quality of the included studies was generally good, with most meeting four or five out of five criteria. Longitudinal studies are lacking. There is strong evidence for a cross‐sectional association between sensory processing and stress in an adult population. Further research, in particular longitudinal studies and studies including clinical populations, would be of benefit in order to establish causality.