OBJECTIVE: To evaluate the effects of a cognitive behavioural training programme and a physical activity programme for patients with stress-related illnesses. DESIGN: In a randomized controlled study, patients were allocated randomly to 1 of 3 groups, where group 1 participated in a cognitive behavioural training programme, group 2 participated in a physical activity programme, and group 3, the control group, was offered usual care for the course of the study. SUBJECTS: A total of 75 patients participated in the study. They had been on sick leave for at least 50% of the time for between 1 month and 2 years due to stress-related illnesses. METHODS: Measurements of autonomic activity, pressure-pain thresholds and subjective ratings of health and behaviour were made before and after a 10-week intervention period, and at 6 and 12 months after the intervention. RESULTS: Minor differences in autonomic activity and pressure-pain thresholds were found between the groups immediately after the intervention. At the 6- and 12-month follow-up assessments, the differences were no longer present. Patients in the cognitive behavioural training group improved their ratings of general health compared with the physical activity group throughout the study. CONCLUSION: The study showed little difference in the effect of cognitive behavioural training and physical activity, compared with usual care, for patients with stress-related illnesses.