Little is known about how the biological stress response systems—the autonomic nervous system (ANS), the hypothalamic-pituitary-adrenal (HPA) axis, and the immune system—function during psychosis. Results of studies on the effect of stress on the immune and autonomic system in patients with schizophrenia are inconsistent. The present study investigates whether the stress response is impaired in medication-naive patients with a first episode of psychosis. Ten male patients with a first episode of psychosis and 15 controls were exposed to the stress of public speaking. Parameters of the ANS (heart rate and catecholamines), the HPA axis (plasma adrenocorticotropic hormone [ACTH] and cortisol), and the immune system (number and activity of natural killer [NK] cells) were measured. Peak responses were calculated to examine the relationship between stress-induced activation of the different systems. Subjective stress and anxiety before and during the task were assessed. Patients and controls displayed similar autonomic responses to acute stress. However, there was an impaired HPA axis response, slow onset and return of ACTH, and flattened cortisol response and a reduced increase in number NK cells and NK cell activity in patients with a first episode of psychosis. Furthermore, in patients, the relationship between the different stress response systems was weaker or absent compared with controls. These findings indicate that impairments in stress processing are associated with the endophenotype of psychosis and are not a result of illness progression or antipsychotic medication.