This study examined the effects of an 8-week aerobic training program on cardiovascular responses to mental stress. Dependent variables included electrocardiographic activity, blood pressure, electroencephalographic (EEG) activity, state anxiety, and state anger. Quantification of indicators of sympathetic, parasympathetic, and central nervous system activity (i.e., respiratory sinus arrhythmia, T-wave amplitude, and EEG activity, respectively) allowed examination of possible underlying mechanisms. Subjects (n = 24) were randomly assigned to experimental (training) and control (no training) conditions. Pre- and posttesting examined cardiorespiratory fitness and responses to mental stress (i.e., Stroop and mental arithmetic tasks). MANOVAs identified a significant effect on cardiorespiratory fitness, heart rate, respiratory sinus arrhythmia, and EEG alpha laterality. The results appear consistent with the hypothesis that enhanced parasympathetic nervous system activity and decreased central nervous system laterality serve as mechanisms underlying certain aerobic training effects.