To understand the animal welfare impact of virtual fencing stimuli (audio cue ‘beep’ and electrical stimulus) on naïve sheep, it is necessary to assess stress responses during the animal’s first encounters with these stimuli. Eighty Merino ewes were exposed to one of the following treatments (n = 16 animals per treatment): Control (no stimuli), beep, dog bark, manual restraint, and electrical stimulus. Collars were used to apply the audio and electrical stimuli. The restraint treatment showed an elevated cortisol response compared with the control (p < 0.05), but there were no differences between the other treatments and the control. There were no differences between treatments in vaginal temperature (p > 0.05). For behaviors, the sheep receiving the bark and beep treatments were more vigilant compared to the control (p < 0.05), there were more aversive responses observed in the electrical stimulus treatment compared to the control. Together, the responses showed that the beep stimuli were largely benign, the bark stimuli was minimally aversive, the electrical stimuli was acutely aversive, and the restraint was moderately aversive. These data suggest that, for sheep, their first exposure to the virtual fencing stimuli should be perceived as less aversive than a commonly used restraint procedure.