Perceived psychological stress and exercise are bidirectionally related, and the effects of exercise on stress relief are well documented. However, research on the influence of stress on exercise remains scarce. This study examined the association between perceived psychological stress and exercise participation among Korean adults and older adults as well as the relationship between exercise frequency and perceived stress. Data on 3440 participants (2813 adults aged 19-64 and 627 older adults aged 65 or more) were collected from the Survey of National Physical Fitness conducted by the Korea Institute of Sport Science and the Korean Ministry of Culture, Sports and Tourism in 2015. We compared the participants' health-related behaviors, including exercise, regular breakfast consumption, and smoking, according to their perceived psychological stress levels. Those who perceived a higher level of psychological stress reported lower levels of exercise participation, regular breakfast consumption, and smoking, with the exception of older male participants. The study also found that a higher frequency of exercise participation corresponded with a lower perceived level of psychological stress (β = -0.080, p < 0.001) and that engaging in physical activity even once a week yields a substantial reduction in stress levels. In a large sample of Koreans, high levels of perceived psychological stress were significantly associated with less physical activity and infrequent weekly exercise. This study found a dose-response relationship between exercise frequency and reduced stress and suggested that psychological stress should be considered crucial in promoting physical activity.