The hypothalamic–pituitary–adrenal (HPA) axis is one of the physiological systems involved in coping with stressors. There are functional shifts in the HPA axis and its regulation by sex hormones over the lifespan that allow the animal to meet the challenges of the internal and external environment that are specific to each stage of development. Sex differences in HPA function emerge over adolescence, a phenomenon reflecting the concomitant initiation of regulatory effects of sex hormones. The focus of this review is recent research on differences between adolescents and adults in HPA function and the enduring effects of exposure to stressors in adolescence. During adolescence, HPA function is characterized by a prolonged activation in response to stressors compared to adulthood, which may render ongoing development of the brain vulnerable. Although research has been scarce, there is a growing evidence that exposure to stressors in adolescence may alter behavioural responses to drugs and cognitive performance in adulthood. However, the effects reported appear to be stressor-specific and sex-specific. Such research may contribute toward understanding the increased risk for drug abuse and psychopathology that occurs over adolescence in people.