There is a scarcity of data on mental health effects of the global economic recession. In this study, we investigated potential change in self-reported levels of psychological stress in the Icelandic population as a result of the major national economic collapse that occurred in 2008. We used a national cohort of 3,755 persons who responded to a survey administered in 2007 and 2009, including demographic questions and a stress measure (the 4-item Perceived Stress Scale). We used repeated-measures analysis of variance and logistic regression models to assess change in mean stress levels and risk of high stress levels (>90th percentile) in 2009 as compared with 2007. Age-adjusted mean stress levels increased between 2007 and 2009 (P = 0.004), though the increase was observed only for women (P = 0.003), not for men (P = 0.34). Similarly, the odds ratios for experiencing high stress levels were increased only among women (odds ratio (OR) = 1.37), especially among women who were unemployed (OR = 3.38), students (OR = 2.01), had middle levels of education (OR = 1.65), or were in the middle income bracket (OR = 1.59). The findings indicate that psychological stress may have increased following the economic collapse in Iceland, particularly among females in economically vulnerable groups.