The concept of stress has a long and perhaps foundational history in health psychology. However, it is also not without its detractors, who point out imprecise and simplistic use of the concept. Four challenges for stress research in health psychology delineate the nuanced and contextualised future. First, 'stress' can be located in the environment, in appraisal or in response (e.g., emotions or physiology). Careful conceptualisation and assessment can differentiate among these locales, as well as reveal interactions among them. Second, coping refers to the transaction between stress and the affected person. Understanding exactly why coping moderates the effects of stress is a major challenge for coping research. Third, stress happens to different people with different personalities and temperaments and at different stages of their lives. People may even be different from themselves at different life stages. These individual differences can impact all manner of stress and coping. Fourth, stress is dynamic. Minor events come and go, and major events create a cascade of changes in the individual's life. Understanding how stress, coping and health change over time within individuals (i.e., in a multi-level framework) will be a major advance for the field.