Studies of the evolutionary causes and consequences of variation in circulating glucocorticoids (GCs) have begun to reveal how they are shaped by selection. Yet the extent to which variation in circulating hormones reflects variation in other important regulators of the hypothalamic-pituitary-adrenal (HPA) axis, and whether these relationships vary among populations inhabiting different environments, remain poorly studied. Here, we compare gene expression in the brain of female tree swallows (Tachycineta bicolor) from populations that breed in environments that differ in their unpredictability. We find evidence of inter-population variation in the expression of glucocorticoid and mineralocorticoid receptors in the hypothalamus, with the highest gene expression in a population from an extreme environment, and lower expression in a population from a more consistent environment as well as in birds breeding at an environmentally variable high-altitude site that are part of a population that inhabits a mixture of high and low altitude habitats. Within some populations, variation in circulating GCs predicted differences in gene expression, particularly in the hypothalamus. However, some patterns were present in all populations, whereas others were not. These results are consistent with the idea that some combination of local adaptation and phenotypic plasticity may modify components of the HPA axis affecting stress resilience. Our results also underscore that a comprehensive understanding of the function and evolution of the stress response cannot be gained from measuring circulating hormones alone, and that future studies that apply a more explicitly evolutionary approach to important regulatory traits are likely to provide significant insights.