Only a few studies have investigated the welfare of animals participating in animal-assisted interventions (AAIs). Most of these studies focus on dogs in therapeutic settings. There are, however, also dogs—service dogs—that are employed to continuously support a single human. Because the welfare of these service dogs is important for the sustainability of their role, the aim of this study was to investigate their stress response to service dog training sessions. To do this, we took repeated salivary cortisol samples from dogs who participated in a training session (n = 19). Samples were taken just after arrival at the training ground, before training, after training, and after a period of free play. Our results showed that mean cortisol levels in all samples were relatively low (between 1.55 ± 1.10 and 2.73 ± 1.47 nmol/L) compared to similar studies. Analysis further showed that samples taken before and after participation in the training’s session did not differ from one another. Mean cortisol levels in both situations were additionally lower than those upon arrival at the training site and after a period of free play. This led to the conclusion that the dogs in our study did not seem to experience training as stressful.