The mindset people have about stress is important because this core belief—that stress is either enhancing or debilitating, fundamentally alters a person's physiological and psychological responses to stressors. Despite its importance, this construct is rarely considered in momentary stress detection research with wearables. Through an in-lab study with wearable devices (N=23), we found that heart rate variability and electrodermal activity features carry distinct signatures of stress mindset. Furthermore, machine learning models can discriminate stress mindset with sensors, and mindset-aware models significantly outperform "one-size-fits-all" models for stress detection tasks. Our findings demonstrate that stress mindset leaves a measurable physiological footprint, opening the potential for more personalized interventions.