There is increasing evidence that stress and self-regulation are important factors in the development and treatment of psychopathology. A key issue is to determine how cognitive-emotional systems modulate the stress response. We sought to determine whether effortful and automatic processing were differentially associated with subsequent mood and cortisol levels during a stressful challenge. We examined this question by having clinically anxious, depressed, and control participants perform a modified spatial cueing task with supraliminal and masked pictorial stimuli during a stressful challenge and control condition. The stressful challenge, relative to the control condition, lowered mood, but did not influence cortisol levels. In the full sample, disengagement from supraliminal dysphoric pictures was associated with subsequent mood ratings, whereas disengagement from masked pictures depicting threat was associated with subsequent cortisol levels. Effortful and automatic processing appears to regulate different aspects of the stress response.