Circulating glucocorticoids (GCs) are powerful regulators of immunity. Stress-induced GC secretion by the adrenal glands initially enhances and later suppresses the immune response. GC targets include lymphocytes of the adaptive immune system, which are well known for their sensitivity to GCs. Less appreciated, however, is that GCs are locally produced in lymphoid organs, such as the thymus, where GCs play a critical role in selection of the T cell antigen receptor (TCR) repertoire. Here, we review the roles of systemic and locally-produced GCs in T lymphocyte development, which has been studied primarily in laboratory mice. By antagonizing TCR signaling in developing T cells, thymus-derived GCs promote selection of T cells with stronger TCR signaling. This results in increased T cell-mediated immune responses to a range of antigens. We then compare local and systemic GC patterns in mice to those in several bird species. Taken together, these studies suggest that a combination of adrenal and lymphoid GC production might function to adaptively regulate lymphocyte development and selection, and thus antigen-specific immune reactivity, to optimize survival under different environmental conditions. Future studies should examine how lymphoid GC patterns vary across other vertebrates, how GCs function in B lymphocyte development in the bone marrow, spleen, and the avian bursa of Fabricius, and whether GCs adaptively program immunity in free-living animals.