Vulnerability to stress-induced inflammation has been linked to a dysfunctional hypothalamus–pituitary–adrenal (HPA) axis. In the present study, patients with known or suspected coronary artery disease (CAD) were assessed with respect to inflammatory and HPA axis response to acute physical exercise. An exercise stress test was combined with SPECT myocardial perfusion imaging. Plasma and saliva samples were collected before and 30 min after exercise. Interleukin (IL)-6 and adrenocorticotropic hormone (ACTH) were measured in plasma, while cortisol was measured in both plasma and saliva. In total, 124 patients were included of whom 29% had a prior history of CAD and/or a myocardial perfusion deficit. The levels of exercise intensity and duration were comparable in CAD and non-CAD patients. However, in CAD patients, IL-6 increased after exercise (p = 0.019) while no differences were seen in HPA axis variables. Conversely, patients without CAD exhibited increased levels of ACTH (p = 0.003) and cortisol (p = 0.004 in plasma, p = 0.006 in saliva), but no change in IL-6. We conclude that the IL-6 response to acute physical exercise is exaggerated in CAD patients and may be out of balance due to HPA axis hypoactivity. It remains to be further investigated whether this imbalance is a potential diagnostic and therapeutic target in CAD.