In this article, we have developed a simple mathematical model that captures the vital mechanisms of the hypothalamic-pituitary-adrenal (HPA) axis self-regulatory activities. For this, a system of three-component non-linear delay differential equations has been proposed and analysed to observe the ultradian and circadian variabilities of the hormone secretion of the HPA axis in normal subjects. Our analysis reveals that a feedback mechanism is sufficient to show the ultradian variability of the hormone secretion pattern but fails to show the circadian variability. A central nervous system-driven pulse generator coupled with the primary feedback mechanism can exhibit the ultradian as well as circadian variability in the hormone secretion of the HPA axis. The model can also predict different dynamics of the normal HPA axis following physiological changes (viz. adrenalectomy and hypophysectomy) and pathological changes (viz. infusion of different hormones).