Problematic drinking is a widespread problem among college students, and can contribute to alcohol dependence during later adulthood, particularly among females. The current study assessed vulnerability for alcohol-related consequences by comparing self-reported drinking with coping styles and physiological and behavioral stress responses during a challenging task. Cardiovascular measurements and saliva samples were taken from 88 female students at the beginning of the experiment and after the task. Hypothalamic-pituitary-adrenal (HPA) activity was measured by assessing cortisol and dehydroepiandrosterone (DHEA) salivary levels. The behavioral task consisted of a set of three anagrams of increasing difficulty, the last of which had no possible solution, to test the distress tolerance of the participants. Results showed that the majority of participants (70%) reported drinking in the six months prior to data collection, most of whom reported at least one incident of binge drinking. Excessive alcohol use was related to an impaired physiological response to stress during the impossible task. College students who drank to cope with stress had significantly higher basal levels of cortisol and DHEA, an indication of HPA axis over-regulation, while their stress response remained remarkably flat. Self-reported consequences of drinking were related to motives for drinking and lower DHEA levels. Regression analysis indicated that higher cortisol levels mediated the relationship between motives for drinking and problematic drinking.