The relevant growth of human-machine interaction (HMI) systems in recent years is leading to the necessity of being constantly aware of the cognitive workload level of an operator, especially in a safety-critical context such as aviation. Since the confusion in the definition of this concept, this paper clarifies this terminology and also highlights its relationship with stress. Thus, we analysed the state-of-the-art of cognitive workload evaluations, showing three up-to-date methodologies: subjective, behavioural and physiological. In particular, the physiological approach is increasingly gaining attention in the literature due to today’s exponential growth of biomedical sensors. Therefore, a review of the most adopted physiological signals in the workload evaluation is provided, focusing on the aeronautical field. We conclude by highlighting the necessity of a multimodal approach for mental workload assessment as a result of this analysis.