Photoplethysmography (PPG) allows various statements about the physiological state. It supports multiple recording setups, i.e., application to various body sites and different acquisition modes, rendering the technique a versatile tool for various situations. Owing to anatomical, physiological and metrological factors, PPG signals differ with the actual setup. Research on such differences can deepen the understanding of prevailing physiological mechanisms and path the way towards improved or novel methods for PPG analysis. The presented work systematically investigates the impact of the cold pressor test (CPT), i.e., a painful stimulus, on the morphology of PPG signals considering different recording setups. Our investigation compares contact PPG recorded at the finger, contact PPG recorded at the earlobe and imaging PPG (iPPG), i.e., non-contact PPG, recorded at the face. The study bases on own experimental data from 39 healthy volunteers. We derived for each recording setup four common morphological PPG features from three intervals around CPT. For the same intervals, we derived blood pressure and heart rate as reference. To assess differences between the intervals, we used repeated measures ANOVA together with paired t-tests for each feature and we calculated Hedges’gto quantify effect sizes. Our analyses show a distinct impact of CPT. As expected, blood pressure shows a highly significant and persistent increase. Independently of the recording setup, all PPG features show significant changes upon CPT as well. However, there are marked differences between recording setups. Effect sizes generally differ with the finger PPG showing the strongest response. Moreover, one feature (pulse width at half amplitude) shows an inverse behavior in finger PPG and head PPG (earlobe PPG and iPPG). In addition, iPPG features behave partially different from contact PPG features as they tend to return to baseline values while contact PPG features remain altered. Our findings underline the importance of recording setup and physiological as well as metrological differences that relate to the setups. The actual setup must be considered in order to properly interpret features and use PPG. The existence of differences between recording setups and a deepened knowledge on such differences might open up novel diagnostic methods in the future.