The NR4A nuclear receptors subgroup, comprising Nur77 (NR4A1), Nurr1 (NR4A2), and Nor1 (NR4A3), are orphan receptors induced by a variety of signals, including stress. These receptors are described as early response genes and in vitro studies have shown that they take part in regulation of the hypothalamic–pituitary–adrenal (HPA) axis, the major stress-responsive neuroendocrine system. This study analyzes further the interweaving of NR4A receptors with the HPA axis at rest and after a restraint stress in vivo in mice. We show that each NR4A member has a similar mRNA expression pattern and low levels of expression at rest except, in particular in hippocampus for Nurr1 and in adrenals for Nur77. After restraint stress, mRNA expression of each NR4A is markedly induced in adrenals and pituitary and significantly in hypothalamus. In higher cerebral regions, such as cortex, hippocampus, and amygdala, induction of NR4A mRNA elicited by stress was very moderate or undetected. The influence of glucocorticoids on NR4A mRNA expression was analyzed by comparing wild-type and Cbg k.o. mice used as a model of glucocorticoid hyposignaling. Nur77 mRNA and protein expression and a downstream Nur77 target gene were found to be affected in the hypothalamus and pituitary of the Cbg k.o. mice but not in hippocampus and cortex. These results further support a physiological role of NR4A orphan receptors in the glucocorticoid response to stress.