Psychological stress is a public health issue even in children and has been associated with a number of immunological diseases. The aim of this study was to examine the relationship between psychological stress and immune response in healthy children, with special focus on autoimmunity. In this study, psychological stress was based on a composite measure of stress in the family across the domains: 1) serious life events, 2) parenting stress, 3) lack of social support, and 4) parental worries. PBMCs, collected from 5-y-old high-stressed children (n = 26) and from 5-y-old children without high stress within the family (n = 52), from the All Babies In Southeast Sweden cohort, were stimulated with Ags (tetanus toxoid and β-lactoglobulin) and diabetes-related autoantigens (glutamic acid decarboxylase 65, insulin, heat shock protein 60, and tyrosine phosphatase). Immune markers (cytokines and chemokines), clinical parameters (C-peptide, proinsulin, glucose), and cortisol, as an indicator of stress, were analyzed. Children from families with high psychological stress showed a low spontaneous immune activity (IL-5, IL-10, IL-13, IL-17, CCL2, CCL3, and CXCL10; p < 0.01) but an increased immune response to tetanus toxoid, β-lactoglobulin, and the autoantigens glutamic acid decarboxylase 65, heat shock protein 60, and tyrosine phosphatase (IL-5, IL-6, IL-10, IL-13, IL-17, IFN-γ, TNF-α, CCL2, CCL3, and CXCL10; p < 0.05). Children within the high-stress group showed high level of cortisol, but low level of C-peptide, compared with the control group (p < 0.05). This supports the hypothesis that psychological stress may contribute to an imbalance in the immune response but also to a pathological effect on the insulin-producing β cells.