Despite a long history of interest in North American and Western European literature, researchers in the UK are only now beginning to turn attention to the issue of academic stress in schoolchildren and how it may affect emotional well‐being, health and performance on school assessments. Based on the author's experiences of designing an extensive research project, this article explores the conceptual and methodological difficulties encountered when designing and conducting research in this area. First, there is a lack of precision in terminology used. The terms ‘stress’, ‘anxiety’ and ‘worry’ are used interchangeably in the literature as if they referred to the same phenomenon, and the domains of ‘examination stress’ and ‘academic stress’ are not clearly defined. As a consequence, it is not clear exactly what phenomenon the literature is actually referring to. Second, it is not always clear in the literature what the term ‘stress’ is referring to. In some cases, it is being used to refer to the properties of a stimulus (e.g. an examination) and in other cases to the subjective experience of distress. Assuming a subjective experience of distress will necessarily follow from a particular stimulus is problematic as it fails to account for the interpretation of that stimulus to the student involved. The much ignored construct of test anxiety may offer some advantages to the researcher by having a clearly defined domain and referent. Third, there is an overwhelming bias in the research towards quantification and ways of ‘measuring’ stress and anxiety in students. The usefulness of this approach is considered along with the potential advantages of alternative approaches.