Psychosocial stress is a potent activator of the hypothalamus-pituitary-adrenal (HPA) axis. While the physiological mechanisms of HPA axis responses to stress as well as its short and long-term consequences have been extensively examined, less is known why someone elicits an acute neuroendocrine stress response, i.e. what are the psychological processes involved and how are they related to the acute neuroendocrine stress response. To examine this question, a questionnaire to assess anticipatory cognitive appraisal processes was developed and administered to 81 male healthy subjects in a standardized psychosocial stress situation (Trier social stress test). Cortisol stress responses were assessed with repeated measurement of salivary free cortisol. Hierarchical regression analyses show that anticipatory cognitive appraisal, in contrast to general personality factors and retrospective stress appraisal is an important determinant of the cortisol stress response, explaining up to 35% of the variance of the salivary cortisol response. The reported results emphasize the importance of psychological stress processing for the understanding of psychobiological stress responses. Since stress and its biological consequences have been shown to be associated with the onset and the maintenance of somatic illnesses and psychiatric disorders, psychological processes are prime targets for prevention and intervention.