With increasing group size, individuals commonly spend less time standing head-up (scanning) and more time feeding. In small groups, a higher predation risk is likely to increase stress, which will be reflected by behavioural and endocrine responses. However, without any predator cues, we ask how the predation risk is actually processed by animals as group size decreases. We hypothesize that group size on its own acts as a stressor. We studied undisturbed groups of sheep under controlled pasture conditions, and measured in situ the cortisol and vigilance responses of identified individuals in groups ranging from 2 to 100 sheep. Both vigilance and average cortisol concentration decreased as group size increased. However, the cortisol response varied markedly among individuals in small groups, resulting in a lack of correlation between cortisol and vigilance responses. Further experiments are required to explore the mechanisms that underlie both the decay and the convergence of individual stress in larger groups, and whether these mechanisms promote adaptive anti-predator responses.