Atherosclerosis is characterized by chronic inflammation involving autoimmune components. The degree of inflammatory activity, as detectable both within the atherosclerotic plaque and in the circulation, is associated with plaque destabilization and atherothrombotic complications. Endogenous glucocorticoids are modulators of innate and acquired immune responses, and as such play a key role in the reciprocal interaction between neuroendocrine and immune systems. Abnormalities in hypothalamic-pituitary-adrenal axis (HPA) function have been described in several chronic inflammatory disorders, and evidence has emerged lately that HPA dysfunction may be implicated also in the pathogenesis of coronary artery disease. This review is an outline of knowledge gained so far by previous studies of glucocorticoids in coronary atherosclerosis and myocardial infarction. The results consistently point towards a dysregulated cortisol secretion that may involve a failure to contain inflammatory activity. A dysfunctional HPA axis and its possible implications for coronary artery disease progress, including the hypothetical link between stress and inflammation, are discussed.