Exposure to an acute naturalistic stressor induces both psychological and physiological changes in humans. The two studies reported here explored the impact of exposure to an acute naturalistic stressor on state anxiety, working memory and HPA axis activation (salivary cortisol). In both experiments, ten healthy male participants were exposed to an acute naturalistic stressor, helicopter underwater evacuation training (HUET), and their physiological and behavioural responses before (first study) and after (second study) the stressor were compared to ten non-stressed controls. The results of both experiments showed that working memory performance was preserved during anticipation of an acute stressor, but impairments were observed immediately after stress exposure. Participants reported significantly higher state anxiety levels during anticipation and following stress exposure, whereas significant elevations in cortisol levels were only observed 25 min post exposure to stress, but not before or immediately after stress exposure. The results of both experiments demonstrated a dissociation between behavioural and biochemical measures and provided evidence for a dissociation of the effects of stress on cognitive and physiological measures depending on the time of testing, with cognitive impairments most evident following stress exposure.