There is strong evidence that the gonads modulate the hypothalamic–pituitary–adrenal axis. To investigate these sex differences at the adrenal glands of sheep we compared the cortisol response to ACTH (experiment 1) and measured the relative expression of oestrogen receptor alpha (ERS1), androgen receptor (AR), melanocortin 2 receptor (MC2R) and steroid acute regulatory protein (STAR) mRNA in adrenal glands (experiment 2) of gonadectomised rams and ewes either with or without sex steroid replacement. In experiment 1 six castrated adult rams and four ovariectomised adult ewes were used in two ACTH trials. On each trial blood samples were taken every 15 min for 4 h through an indwelling jugular catheter and each animal received 0.5 mg of an ACTH analogue i.v., immediately after the sample at 1 h from the beginning of the trial. Four days after the first trial the males received 100 mg of Testosterone Cyclopentilpropionate (TC) i.m. and the females received 2.5 mg of Oestradiol Benzoate (EB) i.m. At 72 h after TC or EB administration the second trial was performed. In experiment 2 the adrenal glands were obtained from gonadectomised adult rams (n = 8) and adult ewes (n = 8). Four rams received 100 mg of TC i.m. and four females received 0.5 mg of EB i.m. Blood samples were taken at 0, 12, 24, 48 and 72 h relative to steroid replacement and the animals were thereafter slaughtered. Cortisol, testosterone and 17β-oestradiol were determined by radioimmunoanalysis. The transcripts of ERS1, AR, MC2R and STAR were determined by real-time reverse transcription PCR in adrenal tissue. Cortisol secretion was higher in female sheep than in male sheep, and higher in EB-treated than non-treated ewes. No difference in cortisol secretion was observed between TC-treated and non-treated rams. Gonadectomised rams treated with TC presented greater AR mRNA and MC2R mRNA expression than males without the steroid replacement. Gonadectomised ewes treated with EB tended to present lower AR mRNA than the ones without steroid replacement. Gonadectomised rams with TC also had greater AR mRNA, ERS1 mRNA and MC2R mRNA expression than ewes treated with EB. The relative amount of STAR transcript was not different among the different groups. The results confirm sex differences in ACTH-induced cortisol secretion in sheep, as well as in the expression of the receptor proteins for both 17β-oestradiol and testosterone in the sheep adrenal gland. However, the underlying mechanisms for sex steroid modulation remain unresolved.