The capability to automatically detect human stress can benefit artificial intelligent agents involved in affective computing and human-computer interaction. Stress and emotion are both human affective states, and stress has proven to have important implications on the regulation and expression of emotion. Although a series of methods have been established for multimodal stress detection, limited steps have been taken to explore the underlying inter-dependence between stress and emotion. In this work, we investigate the value of emotion recognition as an auxiliary task to improve stress detection. We propose MUSER – a transformer-based model architecture and a novel multi-task learning algorithm with speed-based dynamic sampling strategy. Evaluation on the Multimodal Stressed Emotion (MuSE) dataset shows that our model is effective for stress detection with both internal and external auxiliary tasks, and achieves state-of-the-art results.