Glucocorticoids (GCs) have profound effects on the immune and nervous systems during development. However, circulating GC levels are low neonatally and show little response to stressors. This paradox could be resolved if immune and neural tissues locally synthesize GCs. Here, we measured baseline corticosterone and cortisol levels in plasma, immune organs, and brain regions of developing zebra finches. Steroids were extracted using solid phase extraction and quantified using specific immunoassays. As expected, corticosterone was the predominant GC in plasma and increased with age. In contrast, cortisol was the predominant GC in immune tissues (bursa of Fabricius, thymus, spleen) and decreased with age. Cortisol levels in immune tissues were higher than cortisol levels in plasma. In the brain, corticosterone and cortisol levels were similarly low, providing little evidence for local synthesis of GCs in the brain. This is the first study to measure (1) cortisol in the plasma of songbirds, (2) corticosterone or cortisol in the brain of songbirds and (3) corticosterone or cortisol in the immune system of any species. Despite the prevailing dogma that corticosterone is the primary GC in birds, these results indicate that cortisol is the predominant GC in the immune system of developing zebra finches. These results raise the hypothesis that cortisol is synthesized de novo from cholesterol in the immune system as an immunosteroid, analogous to neurosteroids synthesized in the brain. Local production of GCs in immune tissues may allow GCs to regulate lymphocyte selection while avoiding the costs of high systemic GCs during development.