The causes and consequences of physiological stress in wildlife are of great interest in a wide range of biological disciplines including understanding how environmental changes affect species fate and persistence. In some areas, the Eurasian red squirrel (Sciurus vulgaris) faces local extinction because of the invasive Eastern gray squirrel (Sciurus carolinensis). Whether or not physiological stress is induced by the presence of invasive species or contributes to local declines in Eurasian red squirrels is unknown. Here, we develop an assay that can be used to quantify physiological stress in fecal samples from Eurasian red squirrels to eventually address these questions. We captured free-living squirrels (6 females, 11 males) and placed them into captivity for 48 h. Fecal glucocorticoid metabolite (FGM) concentrations in female and male squirrels were significantly higher 24 and 32 h after initial captivity with a lag time to peak excretion ranging from 24 to 36 h. We measured FGM concentrations in free-living squirrels (37 females, 45 males) over a 3-year period. Lactating free-living squirrels had higher FGM concentrations compared to nonbreeding or pregnant squirrels but there were no differences in FGM concentrations in males with scrotal and abdominal testes. Free-living squirrels had the highest FGM concentrations in the winter and lowest in the summer (winter > autumn > summer). Squirrels kept in captivity for 4–48 h had significantly higher FGM concentrations than free-living squirrels (111 fecal samples from 82 squirrels). FGM concentrations in captive but not wild squirrels were significantly repeatable. We found no sex differences and no association with body mass in FGM concentrations in captive or free-living squirrels. Our results indicate that this assay can accurately quantify physiological stress in Eurasian red squirrels, which may be useful for future studies to document how the invasive Eastern gray squirrel contributes to local extinction.