Dehydroepiandrosterone (DHEA) and cortisol release appear to have contrasting effects on stress perception during stressful tasks. This study aimed to investigate anticipatory examination stress in college students by considering DHEA, cortisol, psycho-emotional aspects and examination performance. Seventy-six students (66 females, 10 males; age range 18–25 years) provided saliva samples and completed questionnaires in two sessions 48 hours apart. During the second session, the students performed the examination. The questionnaires used were the State-Trait Anxiety Inventory, the Positive and Negative Affect Scale, and the Brief-Coping Orientation to Problems Experienced Inventory. DHEA, cortisol, anxiety and negative affect showed an anticipatory rise before the examination (all ps < 0.001). This rise of DHEA and cortisol was associated with lower positive affect (p = 0.001 and p = 0.043, respectively). However, only the DHEA anticipatory levels were linked to poorer examination marks (p = 0.020). Higher levels of the DHEA/cortisol ratio in anticipation of the examination were related to lower scores on the support-seeking strategy (p = 0.022). There was no association between DHEA and cortisol levels and anxiety, negative affect, active and avoidant coping strategies, or academic record. These results suggest that how DHEA and cortisol respond in anticipation of examination stress significantly impacts students’ emotional well-being during examination periods and how they cope with stress. They also suggest that levels of DHEA in anticipation of an academic stressor have detrimental effects on stress management.