The relationship between the built environment and psychological well-being is inherently complex and multidimensional, particularly in its influence on mental and emotional responses. Given that these aspects are subjective and intangible, existing research has left important gaps in understanding how perceived characteristics of the built environment shape psychological experiences. Moreover, prior studies have often examined mental responses such as stress or anxiety in isolation, overlooking their interplay with emotional states. Hence, this study addresses this gap by investigating the scalar–spatial relationships between residential perceptions of place and perceived stress across Seoul, South Korea. Using a Multi-scale Geographically Weighted Regression (MGWR) approach, the analysis demonstrates that place perceptions such as beautiful, safe, lively, wealthy, boring, and depressing influence perceived stress in both positive and negative directions, with effects varying across neighborhoods. Notably, the findings implied reversal thresholds, where perceptions shift from stress-alleviating to stress-intensifying, emphasizing the need to account for non-linear and context-specific dynamics. The MGWR results outperform global models, with local R2 values ranging from 0.30 to 0.93, thereby revealing pronounced spatial heterogeneity in how built environment perceptions affect perceived stress. This challenges one-size-fits-all approaches and highlights the value of threshold-based methods within multidimensional frameworks for evaluating urban psychological comfort. By capturing mental–emotional interplays, this study advances theoretical understanding of psychological responses to the built environment, serving as a foundation for integrating psychological comfort indicators into urban planning and design policies, thereby promoting more context-sensitive and human-centered urban development.