Purpose: Research has suggested that psychological stress is associated with reduced lung function and with the development of respiratory disease. Among the major potential sources of stress in adulthood are working conditions. We aimed to examine the relationship of work stress with lung function. Methods: We drew on 4-year prospective data from the Survey of Health, Ageing and Retirement in Europe. The analyzed sample comprised 2627 workers aged 50 years or older who were anamnestically free of respiratory disease. Work stress at baseline was operationalized by abbreviated instruments measuring the well-established effort–reward imbalance model (seven items) and the control component of the job-demand control (two items). Peak expiratory flow (PEF) was determined at baseline and at follow-up. Continuous and categorized (i.e., by the tertile) work stress variables were employed in multivariable linear regression models to predict PEF change. Results: Work stress did not show statistically significant associations with PEF change. For instance, the unstandardized regression coefficient for PEF decline according to high versus low effort–reward imbalance was −1.41 (95% confidence interval = −3.75, 0.94). Conclusions: Our study is the first to examine prospective relationships between work stress and PEF. Overall, we did not observe meaningful associations. Future studies should consider a broader spectrum of spirometric parameters and should expand research to younger and possibly less-selected working populations (i.e., aged <50 years).