Background and Objectives: Top-level sports performance places heavy physical and psychological demands on elite-level athletes, which can be a source of increased levels of stress. Therefore, high-level volleyball players may present altered cardiovascular and endocrinological stress response during stressful events. Although many previous studies have examined the response to stress on athletes, most of them regarded only males, while the impact of the female menstrual cycle has rarely been taken into account. We aimed to study psychophysiological response to anticipatory stressor through analysis of heart rate, self-reported anxiety level, and salivary cortisol in healthy young female athletes by minimalizing the effect of confounders. Materials and Methods: A total of 55 females (25 members of the best league for female volleyball players in Poland and 30 sedentary-lifestyle control subjects) in the follicular phase of their menstrual cycle were exposed to mental arithmetic tasks as an experimental imitation of the stressor. Volleyball players were significantly taller than sedentary individuals (177.1 ± 3.4 cm vs. 173.3 ± 3.4 cm, respectively, p = 0.034), but did not differ in weight (73.6 ± 5.2 kg vs. 70 ± 4.23 kg, respectively, p = 0.081), body mass index (BMI) (23.5 ± 1.13 vs. 24.1 ± 1.45, respectively, p = 0.060), and age (22 ± 1.11 vs. 23 ± 1.14 years, respectively, p = 0.2). Their stress responses were assessed through self-reported anxiety levels and physiological measurements of salivary cortisol concentrations and heart rate (HR). Results: For HR, significant effects of time (F(2,120) = 21.34, p < 0.001, η2 = 0.26) were found, but not for training status (F(1,60) = 2.69, p = 0.106, η2 = 0.04). For cortisol levels, the analysis showed the main effects of time (F(3,180) = 11.73, p < 0.001, η2 = 0.16) and training status (F(1,60) = 4.69, p = 0.034, η2 = 0.07) and a significant interaction between training status and time (F(3,180) = 3.07, p = 0.029, η2 = 0.05). Post-hoc analyses showed higher cortisol concentrations among volleyball players following the math task (all p < 0.001), as well as higher cortisol concentrations in S2, S3, and S4 compared to S1 in volleyball players (all p < 0.001). We observed also a significant increase in state anxiety in both groups (all p < 0.001), but no differences in state anxiety levels between groups. Conclusion: Female volleyball players may not differ in subjective graduation of stressors; however, exposure to training-based stressors seems to promote cortisol response to the anticipated stressor.