The physiological response to stress is intertwined with, but distinct from, the subjective feeling of stress, although both systems must work in concert to enable adaptive responses. We investigated 1,065 participants from the Midlife in the United States 2 study who completed a self-report battery and a stress-induction procedure while physiological and self-report measures of stress were recorded. Individual differences in the association between heart rate and self-reported stress were analyzed in relation to measures that reflect psychological well-being (self-report measures of well-being, anxiety, depression), denial coping, and physical well-being (proinflammatory biomarkers interleukin-6 and C-reactive protein). The within-participants association between heart rate and self-reported stress was significantly related to higher psychological well-being, fewer depressive symptoms, lower trait anxiety, less use of denial coping, and lower levels of proinflammatory biomarkers. Our results highlight the importance of studying individual differences in coherence between physiological measures and subjective mental states in relation to well-being.