Background Stress vulnerability has been implicated in adolescent chronic fatigue syndrome (CFS), but has rarely been investigated directly. This study compared psychological and physiological responses to a laboratory social performance task in adolescents with CFS with chronic illness (asthma) and healthy control groups. Methods Adolescents with CFS (n = 60), adolescents with asthma (n = 31) and healthy adolescents (n = 78) completed questionnaires before and after a social performance task. Skin conductance responses (SCR; mean SCR and Max–Min) and heart rate variability (low frequency/high frequency; LF/HF and root mean square difference of successive RR intervals; RMSSD) was measured before, during and after the task. Results Baseline heart rate variability (HRV) (RMSSD) was significantly lower in the CFS and Asthma groups than the HC. During the speech, the CFS and Asthma groups had higher HRV (LF/HF) than the HC, adjusting for baseline LF/HF. Although the asthma group showed a subsequent reduction in HRV during recovery, the CFS group did not. Similarly, during recovery after the task, the CFS group showed a continued increase in skin conductance (Min–Max), unlike the Asthma and HC groups. Compared to control groups, adolescents with CFS expected to find the task more difficult, were more anxious beforehand and afterwards, rated it as more difficult, evaluated their performance more negatively and had lower observer ratings of performance. Parents of adolescents with CFS expected that their child would perform less well in the task than parents of control participants. Conclusions Adolescents with CFS showed autonomic nervous system responses that are consistent with chronic stress vulnerability, difficulty coping with acute stress and slower recovery after acute stress. Self‐report measures also indicated greater trait, pre‐ and posttask anxiety in the CFS group.