We study the fundamental problems of agnostically learning halfspaces and ReLUs under Gaussian marginals. In the former problem, given labeled examples $(mathbf{x}, y)$ from an unknown distribution on $mathbb{R}^d times { pm 1}$, whose marginal distribution on $mathbf{x}$ is the standard Gaussian and the labels $y$ can be arbitrary, the goal is to output a hypothesis with 0-1 loss $mathrm{OPT}+epsilon$, where $mathrm{OPT}$ is the 0-1 loss of the best-fitting halfspace. In the latter problem, given labeled examples $(mathbf{x}, y)$ from an unknown distribution on $mathbb{R}^d times mathbb{R}$, whose marginal distribution on $mathbf{x}$ is the standard Gaussian and the labels $y$ can be arbitrary, the goal is to output a hypothesis with square loss $mathrm{OPT}+epsilon$, where $mathrm{OPT}$ is the square loss of the best-fitting ReLU. We prove Statistical Query (SQ) lower bounds of $d^{mathrm{poly}(1/epsilon)}$ for both of these problems. Our SQ lower bounds provide strong evidence that current upper bounds for these tasks are essentially best possible.