Background and Purpose: Successful adaptation to the stress of physical exertion in adverse environmental conditions (heat, cold, high altitude) is of great concern when optimal performance within safe parameters is the goal. The perception of the psychophysical demands imposed by the stressful situation and the perceived capability to cope with these demands is a process that can dramatically alter the intensity of the ensuing physiological activation. Thus, exercise in environmentally stressful conditions provides an excellent model for examining the relationship between the cognitive appraisal of the physical stress and the ensuing stress response. A brief review of the research on cognitive appraisals during exercise in stressful environments provides evidence of the connection between cognitive appraisals and the stress response during exercise under environmental stress and demonstrates a need for a transactional psychobiological model proposed in this paper. This model attributes a central role to the continuous cognitive appraisal of the situation by the individual.Methods: Computer searches of psychological, sport science, and medical databases using the terms exercise, heat, cold, high altitude, environmental stress, and ratings of perceived exertion were conducted. Additionally, the reference citations in the obtained articles were searched for relevant studies. An abridged integrated review summarizes the critical findings and limitations. Furthermore, literature supporting the proposed transactional psychobiological model is presented.Results and Conclusions: Further investigation into the psychophysical and the affective responses to exercise in adverse environmental conditions can be facilitated through the utilization of the proposed transactional psychobiological model.