Several studies have described, often separately, the relaxing effects of music or odor on the autonomic nervous system (ANS) activity. Only a few studies compared the presentation of these stimuli and their interaction within a same experimental protocol. Here, we examined whether relaxing music (slow-paced classical pieces) and odor (lavender essential oil) either presented in isolation or in combination would facilitate physiological recovery after cognitive stress. We continuously recorded the electrocardiogram to assess the high-frequency component of heart rate variability (HF-HRV), an index of parasympathetic activity, and electrodermal activity (EDA), an index of sympathetic activity, 10 min before, during and 30 min after a cognitive stress (i.e., completing timely constrained cognitively demanding tasks) in 99 participants allocated to four recovery conditions (control N = 26, music N = 23, odor N = 24, music+odor N = 26). The stressing event triggered both a significant increase in EDA and decrease in HF-HRV (compared to baseline). During the recovery period, the odor elicited a greater decrease in EDA compared to an odorless silent control, whereas no difference in HRV was observed. Conversely, during this period, music elicited a greater increase in HF-HRV compared to control whereas no difference in EDA was observed. Strikingly, in the multimodal music+odor condition, no beneficial effect was observed on ANS indexes 30 min after stress. Overall, our study confirms that both olfactory and musical stimuli have relaxing effects after stress on ANS when presented separately only, which might rely on distinct neural mechanisms and autonomic pathways.