The stress-vulnerability model has been repeatedly highlighted in relation to the risk, onset and course of psychosis, and has been independently studied in clinical high-risk (CHR) and first-episode psychosis (FEP) populations. Notable in this literature, however, is that there are few studies directly comparing markers of stress response across progressive stages of illness. Here we examined the psychobiological response to the Trier Social Stress Test in 28 CHR (mean age 19.1) and 61 FEP (age 23.0) patients, in order to understand the stage(s) or trajectories in which differences in subjective stress or physiological response occur. The overall clinical sample had greater perceived stress and blunted cortisol (FEP + CHR, n = 89, age 21.7) compared with healthy controls (n = 45, age 22.9). Additional analyses demonstrated elevated heart rate and systolic blood pressure in FEP compared with CHR, but there were no further differences in physiological parameters (cortisol, heart rate, or blood pressure) between stage- or trajectory-based groups. Together, this suggests that individual stress response markers may differentially emerge at particular stages en route to psychosis – and demonstrates how stage-based analyses can shed light on the emergence and evolution of neurobiological changes in mental illness.