Purpose: Organizational change can be a major stress factor for employees. We investigate if stress responses can be explained by the extent to which there is a match between employee self-construal (in personal or collective terms) and change consequences (i.e., does the change particularly have consequences for the individual or for the group). We further investigate if the interactive effect of self-construal and change consequences on stress will be mediated by feelings of uncertainty. Design/Methodology/Approach: Data were obtained in three studies. Study 1, a laboratory study, focused on physiological stress. Study 2, a business scenario, focused on anticipated stress. Study 3, a cross-sectional survey, focused on perceived stress. Studies 2 and 3 also included measures of uncertainty in order to test its mediating qualities. Findings: Change is more likely to lead to stress when the change has consequences for matters that are central to employees’ sense of self, and particularly so when the personal self is salient. This effect is mediated by feelings of uncertainty. Implications: Understanding why some people experience stress during change, while others do so to a lesser extent, may be essential for improving change management practices. It may help to prevent change processes being unnecessarily stressful for employees. Originality/Value: This is one of the first studies to show that different kinds of change may be leading to uncertainty or stress, depending on employees’ level of self-construal. The multi-method approach boosts the confidence in our findings.