Still, she said the findings do also reinforce other research showing that people who work are healthier. Other research has found that works both ways—healthier people are more likely to be employed, and employment also appears to have additional health benefits in and of itself.
"What we're finding suggests that work is good for you—that there actually are benefits to working," she said.
Read MoreStay-at-home moms growing among young and poor
The Penn State findings were consistent for men and women, and similar for parents and non-parents.
The one exception was higher-income workers, who Damaske said had equal levels of stress at work and home. She said that makes sense given previous research showing that higher status jobs are more stressful.
There's plenty of research showing that parents in particular are stressed out by juggling work and family responsibilities. A Pew Research Center report released last year found that more than half of moms and dads found it difficult to balance the two.
Read MoreStay-at-home dads struggle to shake Mr. Mom image
A separate study, released by Insights In Marketing earlier this year, also showed that many moms and dads were struggling to balance "having it all."
—By CNBC'S Allison Linn.