Many protocols have been developed to assess farm animal welfare. However, the validity of these protocols is still subject to debate. The present study aimed to compare nine welfare assessment protocols, namely: (1) Welfare Quality© (WQ), (2) a modified version of Welfare Quality (WQ Mod), which has a better discriminative power, (3) WelzijnsWijzer (Welfare Indicator; WW), (4) a new Welfare Monitor (WM), (5) Continue Welzijns Monitor (Continuous Welfare Monitor; CWM), (6) KoeKompas (Cow Compass; KK), (7) Cow Comfort Scoring System (CCSS), (8) Stall Standing Index (SSI) and (9) a Welfare Index (WI Tuyttens). In addition, a simple welfare estimation by veterinarians (Estimate vets, EV) was added. Rank correlation coefficients were calculated between each of the welfare assessment protocol scores and mean hair cortisol concentrations from 10 cows at 58 dairy farms spread over the Netherlands. Because it has been suggested that the hair cortisol level is related to stress, experienced over a long period of time, we expected a negative correlation between cortisol and the result of the welfare protocol scores. Only the simple welfare estimation by veterinarians (EV) (ρ = −0.28) had a poor, but significant, negative correlation with hair cortisol. This correlations, however, failed to reach significance after correction of p-values for multiple correlations. Most of the results of the different welfare assessment protocols had a poor, fair or strong positive correlation with each other, supporting the notion that they measure something similar. Additional analyses revealed that the modified Welfare Quality protocol parameters housing (ρ = −0.30), the new Welfare Monitor (WM) parameter health (ρ = −0.33), and milk yield (ρ = −0.33) showed negative correlations with cortisol. We conclude that because only five out of all the parameter scores from the welfare assessment protocols showed a negative, albeit weak, correlation with cortisol, hair cortisol levels may not provide a long term indicator for stress in dairy cattle, or alternatively, that the protocols might not yield valid indices for cow welfare.