Background and Objective: The present study was designed to investigate whether acute physical activity and psychological stress produce different effects on cortisol release and working memory performance. Materials and Methods: Male subjects (N = 12; 18–35 years) were recruited and scheduled to come four times to our lab (within-subject design). For each counterbalanced visit, they performed one of the following four protocols: control, moderate physical activity (MOD), vigorous physical activity (VIG), and acute stress. Heart rate was monitored during every protocol. MOD and VIG were performed for 15 min and were defined as 40–50% and 70–80%, respectively, of their maximum heart rate. Acute stress was imposed via the Trier Social Stress Test (TSST). Salivary samples were collected before and after every protocol to assess cortisol concentrations. Working memory (WM) performance was evaluated through the 2N-Back task right after ending the protocol (early WM) and after a delay of 35 min (late WM). Results: VIG and stress, but not MOD, increased salivary cortisol concentrations. However, the increases of cortisol produced by VIG and stress were not significantly different. Also, there were no significant differences in working memory performance (late and early) in any of the experimental protocols tested. Conclusions: These results show that exercise (VIG) and stress produce similar effects on cortisol release and do not support the hypothesis that working memory capacity is influenced by elevated cortisol levels, either from varying exercise intensities or psychological stress.