Background Depression and anxiety have been linked to higher as well as lower reactivity to stressful circumstances. Large, population-based studies investigating the association between depression and anxiety, perceived and physiological stress responses are lacking. Methods We studied 725 men and women, aged 55–60 years, from a population-based cohort, who filled out the Hospital Anxiety and Depression Scale (HADS). We performed a standardized interview on medical history and lifestyle. We measured continuous blood pressure (BP) and heart rate (HR) reactivity, saliva cortisol reactivity and perceived stress during a psychological stress protocol. Results Albeit not statistically significant in all groups, systolic BP (SBP), diastolic BP (DBP), HR and cortisol reactivity to the psychological stress protocol were lower in those with mild-to-severe depression or anxiety symptoms and those ever clinically diagnosed with depression or anxiety, while perceived levels of stress were higher compared to those without depression or anxiety symptomatology. Maximum SBP, HR and cortisol stress responses significantly decreased and perceived stress scores significantly increased with increasing scores on the HADS depression subscale (HADS-D) and HADS anxiety subscale (HADS-A) (all P