Blood pressure (BP) reactivity to stress is associated with cardiovascular events and the incidence of hypertension, therefore, tolerance to stressors is important for better management of cardiovascular risks. Exercise training is among the strategies that have been investigated as blunting the peak response to stressors, however, its efficacy is poorly explored. The aim was to explore the effects of exercise training (at least four weeks) on BP responses to stressor tasks in adults. A systematic review was performed in five electronic databases (MEDLINE, LILACS, EMBASE, SPORTDiscus, and PsycInfo). Twenty-three studies and one conference abstract was included in the qualitative analysis, totaling 1121 individuals, and k = 17 and 695 individuals in the meta-analysis. Favorable results (random-effects) for exercise training were found, with attenuated peak responses in systolic (standardized mean difference (SMD) = −0.34 [−0.56; −0.11], representing average reductions of 2.5 ± 3.6 mmHg) and null effects on diastolic BP (SMD = −0.20 [−0.54; 0.14], representing average reductions of 2.0 ± 3.5 mmHg). The analysis removing outliers’ studies improved the effects for diastolic (SMD = −0.21 [−0.38; −0.05]) but not systolic BP (SMD = −0.33 [−0.53; −0.13]). In conclusion, exercise training seems to lower stress-related BP reactivity, therefore has the potential to improve patients’ ability to better respond to stressful situations.