The stress response differs between women using hormonal contraception and naturally cycling women. Yet, despite ample evidence showing that the stress response differs across the menstrual cycle in naturally cycling women, limited work has investigated whether the stress response differs across the hormonal contraceptive cycle, during which synthetic hormones are taken most of the month but not all of it. To induce a stress response, women using hormonal contraception completed the cold pressor test during either the active phase, when hormones are present, or during the inactive phase, when hormones are not present. Saliva was collected and assayed for free cortisol and progesterone levels prior to stress onset, immediately after stress termination, and 15-min post stress onset. Free cortisol and progesterone increased to a similar degree across both hormonal contraceptive phases in response to the cold pressor test. Post-hoc investigation indicates that the progestin "generation" (classification of synthetic progestins based on the compounds they are derived from) can differentially affect the free steroid response to cold pressor test stress, with the largest effects observed in women using formulations containing second-generation progestins. These findings indicate that progestin generation, particularly second-generation progestins, may have a more impactful influence on the stress response than hormonal contraceptive cycle phase. Potential mechanisms driving this effect and need for additional research are discussed.