Monitoring performance-related characteristics of athletes can reveal changes that facilitate training adaptations. Here, we examine the relationships between submaximal running, maximal jump performance (CMJ), concentrations of blood lactate, sleep duration (SD) and latency (SL), and perceived stress (PSS) in junior cross-country skiers during pre-season training. These parameters were monitored in 15 male and 14 females (17 ± 1 years) for the 12-weeks prior to the competition season, and the data was analysed using linear and mixed-effect models. An increase in SD exerted a decrease in both PSS (B = -2.79, p ≤ 0.01) and blood lactate concentrations during submaximal running (B = -0.623, p ≤ 0.05). In addition, there was a negative relationship between SL and CMJ (B = -0.09, p = 0.08). Compared to males, females exhibited higher PSS scores and little or no change in performance-related tests. A significant interaction between time and sex was present in CMJ with males displaying an effect of time on CMJ performance. For all athletes, lower PSS appeared to be associated with longer overnight sleep. Since the females experienced higher levels of stress, monitoring of their PSS might be beneficial. These findings have implications for the preparation of young athletes’ competition season.