The cross-stressor adaptation hypothesis of exercise training has not been investigated under real-life conditions. Using ecological momentary assessment, we tested whether usual exercise level moderates the relationship of self-reported anxiety to concurrent ambulatory heart rate (HR) and systolic/diastolic blood pressure (SBP/DBP). Participants (N = 832) completed 24-h ambulatory monitoring of HR/BP, using a brachial BP cuff that took readings at 28-min intervals. Anxiety levels were concurrently reported on a visual analog scale (VAS) using a Palm Pilot. Usual exercise behavior was assessed by a self-report questionnaire. Random coefficients linear regression models predicting momentary HR/BP readings from time-matched anxiety scores were estimated, yielding the average within-person effect (slope) of anxiety. The interaction of exercise level (i.e., no weekly exercise, 1–149, and ≥ 150 min/week; a between-person factor) with anxiety was added to the model in order to estimate the average anxiety slope for participants in each exercise category. The relationship of HR/BP to anxiety did not differ significantly among exercise categories, hence not providing evidence for the cross-stressor hypothesis. In an exploratory analysis of the difference in HR/BP between occasions when anxiety was in the top versus bottom person-specific quintiles of responses, the difference in HR (but not SBP or DBP) varied significantly by exercise level (F(2,625) = 4.92, p = 0.008). Though our pre-specified analysis did not support the hypothesis, we provide some post hoc evidence supporting the cross-stressor hypothesis of exercise training for the HR response to anxiety.