Stress can negatively impact one’s health and well-being, however, despite the recent evolution in stress assessment research methodologies, there is still little agreement about stress conceptualization and assessment. In an attempt to summarize and reflect on this evolution, this paper aims to systematically review research evidence of ecological approaches on psychophysiological stress assessment. Thus, a literature search of electronic databases was conducted spanning 22 years (1990–2012) and 55 studies were reviewed. Studies were considered for inclusion if they contemplated both psychological and physiological measures of stress under ecological settings. This review focuses on five themes: methodology terminology, research population, study design, measurement, and technology. Findings support the need to use a common methodology terminology in order to increase scientific rigor. Additionally, there seems to be an increasing tendency for the use of these methods by multidisciplinary teams among both clinical and nonclinical populations aiming to understand the relationship between stress and disease. Most of the studies reviewed contemplated a time-based protocol and different conceptualizations of stress were found, resulting in the use of different subjective measures. Findings reinforce the importance of combining subjective and objective measures while also controlling for possible time- or situation-dependent confounders’. Advances in technology were evident and different assessment techniques were found. The benefits and challenges of ecological protocols to assess stress are discussed and recommendations for future research are provided, aiming to overcome previous limitations and advance scientific knowledge in the area.