It depends on the type of stress. Studies have linked aerobic exercise of all intensities with decreased psychological stress. And exercise-related physiological stress releases cortisol, which in the short term can be beneficial—it can help you set a PR in the local 5K.
However, chronic elevated cortisol has been implicated in everything from diabetes to depression. In a recent study, Nadine Skoluda, a researcher at Germany’s University of Marburg, found that runners training for distances as short as the half marathon had much higher cortisol levels in their hair—a marker of cumulative secretion of the hormone—than non-endurance athletes.
That doesn’t mean we should shorten up our routines just yet. This field of research is relatively young, and Skoluda says that scientists don’t yet know whether chronic cortisol secretion due to prolonged exercise is bad for you over time. For now, if exercise is relaxing, keep it up. It certainly won’t help your stress level to worry about it.