The stress-buffering hypothesis postulates that physical activity and exercise can buffer the negative effects of (academic) stress on health. It still remains an open question whether students, who regularly engage in physical activity and exercise within their academic examination period, can successfully diminish these negative effects. Sixty-four subjects participated in this study and completed a total of five surveys, with T1 at the end of the semester break (baseline) and T2–T5 being presented every Friday in the last 4 weeks of the semester (examination period). They were asked to answer questions about their activity level, sleep quality, well-being and affect. Hierarchical linear models showed significant dependencies on time for all dependent measures. The expansion of the model for exercise also showed significant main effects of this predictor on well-being and positive affect (PA) and negative affect. Moreover, significant interactions with time for sleep quality and PA were found. Results suggest that physical activity and exercise in the academic examination period may be able to buffer the negative effects of stress on health-related outcomes. ... mehrTherefore, activity levels should be maintained in times of high stress to prevent negative effects on sleep, well-being and affect in students.