Glucocorticoids (GCs) are produced in the adrenal glands and also in extra-adrenal sites, including immune organs and brain. Here, we examined regulation of systemic GC levels in plasma and local GC levels in immune organs and brain during development. We conducted two studies and examined a total of 462 samples from 70 subjects. In Study 1, we determined corticosterone and cortisol levels in the plasma, immune organs and brain of wild European starlings on post-hatch day 0 (P0) and P10 (at baseline and after 45 min of restraint). Baseline corticosterone and cortisol levels were low in the immune organs and brain at P0 and P10, providing little evidence for local GC synthesis in starlings. At P0, restraint had no significant effects on corticosterone or cortisol levels in the plasma or tissues; however, there was a trend for restraint to increase both corticosterone and cortisol in the immune organs. At P10, restraint increased corticosterone levels in the plasma and all tissues, but restraint increased cortisol levels in the plasma, thymus, and diencephalon only. In Study 2, we directly compared GC levels in European starlings and zebra finches at P4. In zebra finches but not starlings, cortisol levels were higher in the immune organs than in plasma. This difference in immune GC levels might be due to evolutionary lineage, life history strategy, or experiential factors, such as parasite exposure. This is the first study to measure immune GC levels in wild animals and one of the first studies to measure local GC levels after restraint stress.