Abstract Previous research examining hypothalamic–pituitary–adrenal (HPA) axis activity in generalised anxiety disorder (GAD) has suggested a general hypercortisolism. These studies have mostly relied on salivary, plasma or urinary assessments, reflecting cortisol secretion over short time periods. The current study utilised the novel method of cortisol assessment in hair to obtain a retrospective index of cortisol secretion over a prolonged period of time. Hair cortisol levels were determined in 15 GAD patients and in 15 age- and gender-matched controls. In addition, participants collected six saliva samples (on awakening, + 30 min, 12:00, 16:00, 20:00 h and at bedtime) on two consecutive weekdays for the assessment of the diurnal cortisol profile. Results revealed significantly lower (50–60%) cortisol levels in the first and second 3-cm hair segments of GAD patients compared to those of controls. No significant between-group differences were seen in diurnal cortisol profiles. The hair cortisol findings tentatively suggest that under naturalistic conditions GAD is associated with hypocortisolism. If corroborated by future research, this demonstrates the important qualities of cortisol measurement in hair as an ecologically valid, retrospective index of long-term cortisol secretion and as a marker for psychiatric disorders associated with hypo- or hypercortisolism.