Objective: Depressive symptoms are a common mental health problem among young adults, but the physiological mechanisms that mediate between stress and depressive symptoms remain unclear. Accordingly, this exploratory study (1) examined how hair cortisol concentrations were associated with self-perceived stress and depressive symptoms in a sample of young adults and (2) tested whether hair cortisol could explain variance in depressive symptoms beyond perceived stress before and after controlling for levels of vigorous physical activity (VPA). Methods: The sample consisted of 42 exercise and health science university students (20 males, 22 females; mean age = 21.2 years). Cortisol concentrations were extracted from hair strands close to the scalp. Participants completed self-rating questionnaires about depressive symptoms and perceived stress. Results: Students with elevated hair cortisol levels tended to report lower depressive symptoms and lower perceived stress. Increased perceived stress was associated with higher depressive symptoms, and both hair cortisol and perceived stress predicted depressive symptoms after controlling for VPA. Conclusions: The present data suggest that elevated hair cortisol levels do not necessarily constitute a health risk. Hair cortisol measurement can serve as a noninvasive and painless biomarker of chronic stress and mental disorders; however, additional research is needed.