There is good stress and bad stress. Good stress which is beneficial to us is called eustress. Such examples would be a fun challenge or a roller coaster ride. Bad stress which is detrimental to us is called distress. Such examples would be worrying about a test or exam, family worries etc.
Exercise makes your body work harder and gets your blood flowing through your body quicker because it needs to quickly deliver the oxygen and nutrients needed to maintain your activity.