Self-regulation is theoretically closely related to coping with stressful events, yet whether self-regulation capacities can predict individual stress responses is largely unknown. Cognitive control and emotion regulation are two major aspects involved in self-regulation, both of which are mechanisms to support goal-directed behaviors. Here, we aimed to elucidate whether the neural processes involved in emotion regulation and cognitive control could predict the cortisol response to stress. Therefore, we recorded first electroencephalography (EEG) during a cognitive conflict task (Simon task) and an emotion regulation task (cognitive reappraisal and expressive suppression) before healthy participants (n = 72) underwent a psychosocial stressor. Our results showed that late positive potentials (LPPs) during the emotion regulation task predicted both cortisol reactivity to and recovery from stress. Cognitive control and its neural underpinning, however, did not predict the individual stress response. These findings indicate that neural emotion regulation processes can predict HPA axis response to stress, and suggest a differential involvement of cognitive and affective components of self-regulation in the adaptation to stressful events.