The work of construction project managers (CPMs) is often highly stressful, due to time pressures, and due to the uncertainties and the dynamic social structure involved in construction projects. This study aims to investigate the impact of stress on the performance of CPMs. Correlation analysis and structural equation modeling are employed to uncover the relationships between different types of stress (i.e., objective stress, burnout, and physiological stress) and the work performances (i.e., task performance, interpersonal performance, and organizational performance) of CPMs. Data were collected from 108 CPMs who work in a variety of construction sectors, including prime contractors, subcontractors, developers, consultant firms, and the public sector. Results showed that (1) objective stress reduces the task performance of CPMs while burnout can have a positive effect on it; (2) interpersonal performance is maximized with a moderate level of objective stress (i.e., an inverted-U-shaped relationship between these two variables) and increases in line with the improvement of the task performance of individuals; and (3) organizational performance has U-shaped relationships with both burnout and physiological stresses and is worsened by objective stress. Last, it is suggested to stakeholders that regular reviews of job allocation, stress appraisals, stress management workshops, group or individual counseling, and psychological treatment or physiotherapy be carried out to optimize the stress and the performance of CPMs.