We review developments in the study of stress in free-ranging mammals and summarize the physiological and behavioral components of the stress response. Both the sympathetic nervous system response and the regulation and reactivity of the hypothalamic–pituitary–adrenal (HPA) axis are discussed. In particular, we describe how the activity of the HPA axis at baseline levels follows circadian and circannual rhythms in ways that allow animals to respond to predictable environmental changes, focusing largely on the endpoint of this axis, the glucocorticoid hormones cortisol and corticosterone. Superimposed upon these rhythms are the elevated glucocorticoid levels characteristic of the stress response, which allow an animal to respond to unpredictable social, physical, or environmental challenges. Methods used to explore the stress response in free-ranging mammals are described. Both inter- and intraspecific variation in the stress response as they relate to the environment are discussed. Finally, how the regulation and reactivity of the HPA axis varies by life-history stage and sex in mammals is reviewed, focusing on reproduction and development.