Stress and additional load on the executive system, produced by a parallel working memory task, impair decision making under risk. However, the combination of stress and a parallel task seems to preserve the decision-making performance [e.g., operationalized by the Game of Dice Task (GDT)] from decreasing, probably by a switch from serial to parallel processing. The question remains how the brain manages such demanding decision-making situations. The current study used a 7-tesla magnetic resonance imaging (MRI) system in order to investigate the underlying neural correlates of the interaction between stress (induced by the Trier Social Stress Test), risky decision making (GDT), and a parallel executive task (2-back task) to get a better understanding of those behavioral findings. The results show that on a behavioral level, stressed participants did not show significant differences in task performance. Interestingly, when comparing the stress group (SG) with the control group, the SG showed a greater increase in neural activation in the anterior prefrontal cortex when performing the 2-back task simultaneously with the GDT than when performing each task alone. This brain area is associated with parallel processing. Thus, the results may suggest that in stressful dual-tasking situations, where a decision has to be made when in parallel working memory is demanded, a stronger activation of a brain area associated with parallel processing takes place. The findings are in line with the idea that stress seems to trigger a switch from serial to parallel processing in demanding dual-tasking situations.