Prior findings indicate that individuals scoring high on vital exhaustion show a dysfunctional stress response (DSR), that is, reduced cortisol reactivity and habituation to psychosocial stressors. The main aim of the present study was to examine whether a DSR may be a vulnerability factor in exhaustion disorder (ED). We examined whether a DSR is present during the early stages of ED, and still is present after recovery. Three groups were studied: 1. Former ED patients (n = 14); 2. persons who during the past 6 month had experienced stress at work and had a Shirom–Melamed Burnout Questionnaire (SMBQ) score over 3.75, considered to indicate a pre-stage of ED (n = 17); 3. persons who had not experienced stress at work during the past 6 months and had a SMBQ score below 2.75 (n = 20). The participants were exposed twice to a virtual version of the Trier Social Stress Test (V-TSST), during which salivary cortisol samples were collected. In addition, high frequency heart rate variability (HF-HRV), heart rate (HR), t-wave amplitude (TWA), and α-amylase were assessed to examine stress reactivity and habituation in the autonomic nervous system (ANS).