Understanding wild animal responses to stressors underpins effective wildlife management. In order for responses to stressors to be correctly interpreted, it is critical that measurements are taken on wild animals using minimally invasive techniques. Studies investigating wild animal responses to stressors often measure either a single physiological or behavioural variable, but whether such responses are comparable and concordant remains uncertain. We investigated this question in a pilot study that measured responses of wild-caught urban brown and black rats (Rattus norvegicus, Rattus rattus) to fur-based olfactory cues from a predator, the domestic cat (Felis catus); a novel herbivore, the koala (Phascolarctos cinereus); and a familiar herbivore and competitor, the common brushtail possum (Trichosurus vulpecula). Physiological responses, measured by assaying faecal glucocorticoid metabolites, were compared to behavioural responses observed via video recordings. We found that physiological and behavioural responses to stressors were expressed concordantly. There was no sizeable physiological response observed, and the behavioural response when considered across the night was negligible. However, the behavioural response to the predator and competitor cues changed across the observation period, with activity increasing with increasing hours of exposure. Our results indicate that responses of wild rodents to cues are nuanced, with stress responses modulated by behaviour changes that vary over time according to the severity of the perceived threat as animals gather further information. If the physiological response alone had been assessed, this moderated response may not have been evident, and in terms of wildlife management, vital information would have been lost.