Solid Balls
Most stress balls are made from a polyurethane foam rubber, or similar substance. Some stress balls have no substance in the core and are instead solid polyurethane. This substance has a little give, but the solid ones tend to be a lot firmer compared to balls with other fillings.
Gel
Professionally-made stress balls tend to have a core made out of a chemical gel which is injected into the ball's foam rubber shell. This gel can be made of anything that does not degrade the rubber, as it is about the feel, not any physical properties the gel itself has. The gel itself can be colored or have glitter added to it, if the casing of the ball is translucent.
Flour and Cornstarch
Using a normal balloon, it is possible to make stress balls at home. In this instance, the balloon is filled with flour or cornstarch. The small grains in these substances, along with the natural stretchiness of the balloon allow it to achieve the same effect as professionally made versions.
Rice, Beans and Seeds
Other substances can be added to balloons to make a very effective stress ball. Rice and seeds are small enough to replicate a similar effect to the cornstarch and flour. Small dried beans can also be used.