Low carbohydrate, high fat (LCHF) diets are followed by athletes, but questions remain regarding effects of LCHF on metabolic adaptation, exercise-induced stress, immune function and their time-course. In this cross-over study, 14 recreational male athletes (32.9 ± 8.2 years, VO2max 57.3 ± 5.8 mL/kg/min) followed a two week LCHF diet (<10 En% carbohydrates (CHO), ~75En% Fat) and a two week HC diet (>50 En% CHO), in random order, with a wash-out period of >2 weeks in between. After 2 days and 2 weeks on either diet, participants performed cycle ergometry for 90 min at 60%Wmax. Blood samples for analysis of cortisol, free fatty acids (FFA), glucose and ketones, and saliva samples for immunoglobin A (s-IgA) were collected at different time points before and after exercise. The LCHF diet resulted in higher FFA, higher ketones and lower glucose levels compared to the HC diet (p < 0.05). Exercise-induced cortisol response was higher after 2 days on the LCHF diet (822 ± 215 nmol/L) compared to 2 weeks on the LCHF diet (669 ± 243 nmol/L, p = 0.004) and compared to both test days following the HC diet (609 ± 208 and 555 ± 173 nmol/L, both p < 0.001). Workload was lower, and perceived exertion higher, on the LCHF diet compared to the HC diet on both occasions. A drop in s-IgA following exercise was not seen after 2 days on the LCHF diet, in contrast to the HC diet. In conclusion, the LCHF diet resulted in reduced workload with metabolic effects and a pronounced exercise-induced cortisol response after 2 days. Although indications of adaptation were seen after 2 weeks on the LCHF diet, work output was still lower.