Feedback of physiological responses have a great potential to support virtual training paradigms aimed to increase cognitive task performance under stressful threatening conditions. In the current study, we examined the sensitivity of a range of physiological indicators derived from electrodermal activity (EDA), blood pressure (BP) and heart rate (HR) to measure stress as induced by the threat of an electric shock (ES). In contrast to previous work that studied physiological stress responses compared to a rest condition, we compared conditions with high cognitive load combined with stress caused by threat of an ES, to conditions with high cognitive load without such stress. Twenty-five participants performed a cognitively demanding task in an experimental setup. At certain 10 s time intervals, indicated by a continuous tone, participants were either asked to do their best and increase cognitive task performance (non-threat condition), or they were told that they could receive an ES during this interval if cognitive task performance was not high enough (threat condition). Physiological measures, task performance and self-reported measures of stress and workload were analysed. Task performance and self-reported measures of stress and workload were roughly the same in both conditions. Especially EDA measures were affected by the threat of an ES. Threat and non-threat conditions could be distinguished with an across-participant classifier using EDA and BP features with an accuracy of 70%. These results suggest that EDA and BP can be used to evaluate stress coping training paradigms or to individually adapt the stress levels in virtual training environments.