According to the World Health Organization (WHO), stress can be defined as any type of alteration that causes physical, emotional, or psychological tension. A very important concept that is sometimes confused with stress is anxiety. The difference between stress and anxiety is that stress usually has an existing cause. Once that activator has passed, stress typically eases. In this respect, according to the American Psychiatric Association, anxiety is a normal response to stress and can even be advantageous in some circumstances. By contrast, anxiety disorders differ from temporary feelings of anxiousness or nervousness with more intense feelings of fear or anxiety. The Diagnostic and Statistical Manual (DSM-5) explicitly describes anxiety as exorbitant concern and fearful expectations, occurring on most days for at least 6 months, about a series of events. Stress can be measured by some standardized questionnaires; however, these resources are characterized by some major disadvantages, the main one being the time consumed to interpret them; i.e., qualitative information must be transformed to quantitative data. Conversely, a physiological recourse has the advantage that it provides quantitative spatiotemporal information directly from brain areas and it processes data faster than qualitative supplies. A typical option for this is an electroencephalographic record (EEG). We propose, as a novelty, the application of time series (TS) entropies developed by us to inspect collections of EEGs obtained during stress situations. We investigated this database related to 23 persons, with 1920 samples (15 s) captured in 14 channels for 12 stressful events. Our parameters reflected that out of 12 events, event 2(Family/financial instability/maltreatment)and 10(Fear of disease and missing an important event)created more tension than the others. In addition, the most active lobes reflected by the EEG channels were frontal and temporal. The former is in charge of performing higher functions, self-control, self monitoring, and the latter is in charge of auditory processing, but also emotional handling. Thus, events E2 and E10 triggering frontal and temporal channels revealed the actual state of participants under stressful situations. The coefficient of variation revealed that E7(Fear of getting cheated/losing someone)and E11(Fear of suffering a serious illness)were the events with more changes among participants. In the same sense, AF4, FC5, and F7 (mainly frontal lobe channels) were the most irregular on average for all participants. In summary, by means of dynamic entropy analysis, the goal is to process the EEG dataset in order to elucidate which event and brain regions are key for all participants. The latter will allow us to easily determine which was the most stressful and on which brain zone. This study can be applied to other caregivers datasets. All this is a novelty.