Prey organisms evolved a multitude of plastic responses to avoid being eaten by predators. Besides the evolution of plastic morphological responses to escape predation, prey also evolved a set of physiological stress responses to avoid dying because of chronic predator stress per se due to disruption of cellular homeostasis. As physiological stress theory predicts increased energy consumption and the inhibition of essential nonemergency body functions, we tested whether chronic predation risk may increase oxidative damage thereby generating negative effects on escape performance. Specifically, we evaluated whether predation risk reduces escape swimming speed in damselfly larvae and whether this operates through stress-associated increases in oxidative damage. Counterintuitively and in contrast with many empirical studies, chronic predation risk decreased escape performance. This is however entirely consistent with the expectation of it being a long-term cost of responding to predation risk (e.g. by increasing respiration or upregulating the stress protein levels). The decreased swimming speed could be explained by an increased oxidative damage to proteins, thereby providing one of the poorly studied ecological links between oxidative damage and whole-animal performance. This likely widespread, understudied cost of chronic predation risk may provide an important pathway of non-consumptive predator effects on prey population dynamics. Moreover, it could play an evolutionary role by acting as a selective force causing prey organisms to adjust the magnitude of the physiological stress response and should be considered when evaluating life history trade-offs thought to be mediated by oxidative damage.