OBJECTIVE: To analyze the relationship between empathy and its domains (i.e., affective and cognitive) and stress in medical students. METHODS: An online cross-sectional study with 543 medical students as respondents divided in three groups: pre-clinical cycle (n = 173), clinical cycle (n = 197), and internship (n = 173). The participants completed the sociodemographic questionnaire, the Interpersonal Reactivity Index, and the Perceived stress scale. RESULTS: The participants were mostly female (71.5%) with an average age of 23.54 (± 4.54) years old. Medical students in the clinical cycle, when compared to the ones in their pre-clinical cycle and internship, showed higher stress levels. Pre-clinical students presented higher levels of total empathy and its affective domain. The highest levels of empathy, especially affective empathy, were associated with higher stress levels in all three groups. Regarding cognitive empathy, there was no observed association with stress among the groups. CONCLUSIONS: The levels of empathy and its affective domain correlated significantly with the stress indicators among students of different cycles (i.e., pre-clinical, clinical cycle, and internship).