Many adolescents and young adults with autism spectrum disorders (ASD) experience high levels of stress and anxiety. The purpose of this pilot study was to examine whether physical exercise and relaxation could reduce stress and anxiety among those with ASD. Salivary cortisol levels were collected before and after each of three sessions during an 8‐week exercise programme. Our findings showed a significant reduction in cortisol at the end of the sessions compared with the beginning. This was supported by a self‐report anxiety measure. Although reductions in these stress measures were not sustained over time, our results highlight the potential of exercise and relaxation for improving symptoms of stress. Future studies are needed which examine longer term reductions in stress following physical exercise interventions. Copyright © 2011 John Wiley & Sons, Ltd.