Scavenger receptor class B type I (SR-BI)–deficient mice display reduced survival to endotoxic shock and sepsis. The understanding of the mechanisms underlying SR-BI protection has been hampered by the large spectrum of SR-BI functions and ligands. It notably plays an important role in the liver in high-density lipoprotein metabolism, but it is also thought to participate in innate immunity as a pattern recognition receptor for bacterial endotoxins, such as LPS. In this study, we sought to determine the tissue-specific contribution of SR-BI in the hyperinflammatory response and high mortality rates observed in SR-BI−/− mice in endotoxicosis or sepsis. Restoring plasma levels of high-density lipoprotein, which are critical lipoproteins for LPS neutralization, did not improve acute outcomes of LPS injection in SR-BI−/− mice. Mice deficient for SR-BI in hepatocytes, endothelial cells, or myeloid cells were not more susceptible to LPS-induced death. However, if SR-BI ablation in hepatocytes led to a moderate increase in systemic inflammatory markers, SR-BI deficiency in myeloid cells was associated with an anti-inflammatory effect. Finally, mice deficient for SR-BI in the adrenal cortex, where the receptor provides lipoprotein-derived cholesterol, had impaired secretion of glucocorticoids in response to stress. When exposed to an endotoxin challenge, these mice exhibited an exacerbated systemic and local inflammatory response, reduced activation of atrophy genes in muscle, and high lethality rate. Furthermore, polymicrobial sepsis induced by cecal ligature and puncture resulted in early death of these animals. Our study clearly demonstrates that corticoadrenal SR-BI is a critical element of the hypothalamic-pituitary-adrenal axis to provide effective glucocorticoid-dependent host defense after an endotoxic shock or bacterial infection.