Background: Data on the adrenal stress response of preterm infants between 30 and 36 weeks are inconsistent. Objective: To test the hypothesis that there is a positive association between illness severity and cortisol production rates (CPR) in preterm infants >30 weeks. Patients and Methods: In a prospective longitudinal observational study, glucocorticoid metabolites were profiled by gas chromatography-mass spectrometry in 24-hour urinary samples. Excretion rates of glucocorticoid metabolites were summed to calculate CPR in 61 well (mean ± SD: 33.6 ± 1.7 weeks) and 20 ill (33.2 ± 1.6 weeks) preterm infants. Illness severity was measured by the score for neonatal acute physiology (SNAP). Results: During the first week of life, SNAP were higher in the group of ill compared to well infants. Medians of CPR (µg/kg/d per mg creatinine) in ill (well) infants were: 1st day, 31 (28); 2nd day, 24 (28); 3rd day, 27 (26); 5th day, 28 (17); 2nd week, 20 (19); 3rd week, 17 (19); 4th week, 16 (16); and 2nd month, 17 (23). There was a significant association between the maximum of SNAP and the maximum of CPR (OR 3.7; 95% CI: 1.2–11.5; p = 0.02) in a logistic regression model which comprised gestational age, mode of delivery, gender and the administration of prenatal steroids as covariables. Conclusion: There was a positive association between severity of illness and CPR in preterm infants >30 weeks, indicating a maturation of the adrenal stress response.