Glucocorticoids can down-regulate immune activity, but acute stress has been reported to increase both cortisol and levels of plasma cytokines. We investigated individual differences in cortisol responses and their associations with proinflammatory cytokines, such as interleukin-6 (IL-6), interleukin-1 receptor antagonist (IL-1ra), cardiovascular activity, and mental health. Saliva samples and blood were taken from 199 healthy middle-aged participants of the Whitehall II cohort at baseline, immediately after stress and 45 min later. We defined the 40% of participants with the highest cortisol response to stress as the cortisol responder group and 40% with the lowest response as the cortisol non-responder group. Plasma IL-6 was higher and the IL-1ra response to stress was greater in the cortisol non-responder group. The cortisol non-responders showed lower heart rate variability than the cortisol responders. The cortisol responder group experienced more subjective stress during the tasks and reported more impaired mental health than the non-responders. We conclude that individual variations in neuroendocrine stress responsivity may have an impact on proinflammatory cytokines, and that both high and low cortisol stress responsiveness has potentially adverse effects.