The aim of this explorative study was to investigate whether physical and psychological challenges are effective in inducing a cortisol response in psychiatric and control children, and if so whether the cortisol response can discriminate between diagnostic groups and is related to psychiatric symptoms. Fifty-two patients, including children with dysthymia, oppositional defiant disorder/conduct disorder, pervasive developmental disorder, not otherwise specified (PDDNOS) and attention deficit hyperactivity disorder, were compared to 15 healthy control children. Symptomatology was scored using the Child Behaviour Checklist. The response to both psychological and physical challenges was assessed by measuring salivary cortisol and heart rate. Physical challenge, but not psychological challenge, resulted in an overall increase in heart rate and saliva cortisol. Dysthymic and PDDNOS patients showed a diminished cortisol response, in spite of a significant increase in heart rate. These groups scored highest on the symptom factor withdrawal. Withdrawal was negatively correlated with the cortisol response. Thus, physical exercise is effective in inducing a salivary cortisol response in children. Dysthymic and PDDNOS patients have a disturbed pituitary-adrenal function in relation to physical stress, that may be associated with withdrawal.