Glucocorticoid hormones play a pivotal role in the response to stressful challenges. The surge in glucocorticoid hormone secretion after stress needs to be tightly controlled with characteristics like peak height, curvature and duration depending on the nature and severity of the challenge. This is important as chronic hyper- or hypo-responses are detrimental to health due to increasing the risk for developing a stress-related mental disorder. Proper glucocorticoid responses to stress are critical for adaptation. Therefore, the tight control of baseline and stress-evoked glucocorticoid secretion are important constituents of an organism’s resilience. Here, we address a number of mechanisms that illustrate the multitude and complexity of measures safeguarding the control of glucocorticoid function. These mechanisms include the control of mineralocorticoid (MR) and glucocorticoid receptor (GR) occupancy and concentration, the dynamic control of free glucocorticoid hormone availability by corticosteroid-binding globulin (CBG), and the control exerted by glucocorticoids at the signaling, epigenetic and genomic level on gene transcriptional responses to stress. We review the beneficial effects of regular exercise on HPA axis and sleep physiology, and cognitive and anxiety-related behavior. Furthermore, we describe that, possibly through changes in the GABAergic system, exercise reduces the impact of stress on a signaling pathway specifically in the dentate gyrus that is strongly implicated in the behavioral response to that stressor. These observations underline the impact of life style on stress resilience. Finally, we address how single nucleotide polymorphisms (SNPs) affecting glucocorticoid action can compromise stress resilience, which becomes most apparent under conditions of childhood abuse.