According to the arousal-mood hypothesis, changes in arousal and mood when exposed to auditory stimulation underlie the detrimental effects or improvements in cognitive performance. Findings supporting or against this hypothesis are, however, often based on subjective ratings of arousal rather than autonomic/physiological indices of arousal. To assess the arousal-mood hypothesis, we carried out a systematic review of the literature on 31 studies investigating cardiac, electrodermal, and pupillometry measures when exposed to different types of auditory stimulation (music, ambient noise, white noise, and binaural beats) in relation to cognitive performance. Our review suggests that the effects of music, noise, or binaural beats on cardiac, electrodermal, and pupillometry measures in relation to cognitive performance are either mixed or insufficient to draw conclusions. Importantly, the evidence for or against the arousal-mood hypothesis is at best indirect because autonomic arousal and cognitive performance are often considered separately. Future research is needed to directly evaluate the effects of auditory stimulation on autonomic arousal and cognitive performance holistically.