Glucocorticoids are hormones that mediate the energetic demands that accompany environmental challenges. It is therefore not surprising that these metabolic hormones have come to dominate endocrine research on the health and fitness of wild populations. Yet, several problems have been identified in the vertebrate research that also apply to the non-human primate research. First, glucocorticoids should not be used as a proxy for fitness (unless a link has previously been established between glucocorticoids and fitness for a particular population). Second, stress research in behavioral ecology has been overly focused on “chronic stress” despite little evidence that chronic stress hampers fitness in wild animals. Third, research effort has been disproportionately focused on the causes of glucocorticoid variation rather than the fitness consequences. With these problems in mind, we have three objectives for this review. We describe the conceptual framework behind the “stress concept”, emphasizing that high glucocorticoids do not necessarily indicate a stress response, and that a stress response does not necessarily indicate an animal is in poor health. Then, we conduct a comprehensive review of all studies on “stress” in wild primates, including any study that examined environmental factors, the stress response, and/or fitness (or proxies for fitness). Remarkably, not a single primate study establishes a connection between all three. Finally, we provide several recommendations for future research in the field of primate behavioral endocrinology, primarily the need to move beyond identifying the factors that cause glucocorticoid secretion to additionally focus on the relationship between glucocorticoids and fitness. We believe that this is an important next step for research on stress physiology in primates.