Stress is associated with many negative effects, including inadequate sleep, reduced learning and memory, and a higher risk of mental health conditions. Given these effects, it is important to explore effective strategies for stress management and intervention. One promising approach is the use of ecological momentary assessments (EMAs), which allow us to measure an individuals’ experiences in their natural environments, offering valuable data to inform just-in-time adaptive interventions (JITAIs). Machine learning can further enhance JITAIs by forecasting stress-related emotional states, enabling proactive intervention delivery to prevent heightened stress. In this study, we focus on forecasting stress utilizing data from a large mental health project. During this project, EMA data was collected from different vulnerable target groups across Europe, including youth, older adults, migrants, and individuals with low socioeconomic status. We formulated the forecasting task as a binary classification problem: predicting either transitions from normal to elevated stress or the stability of normal stress, based on a person’s stress distribution. This approach simplifies the task, supports personalized predictions, and enables actionable insights, as predicting elevated stress can directly trigger support. Our results demonstrate that machine learning models are capable of forecasting stress transitions (ROC-AUC = 0.70 vs. 0.50 for a random classifier), although predicting transitions to elevated stress proved more challenging than identifying stable normal stress. Models trained on combined data from all populations performed comparable to those trained on individual populations. Furthermore, cross-country evaluations indicated that population-specific models generalized well across most populations.