Background: In the military context, high levels of physiological and psychological stress together can compromise individual’s ability to complete given duty or mission and increase dropout rates. The purpose of this study was to investigate if baseline physical fitness, body composition, hormonal and psychological factors could predict dropout from a 10-day intense winter military survival training. Methods: 69 conscripts volunteered to participate in the study. Physical fitness (muscle strength and power, muscle endurance, and aerobic fitness), body composition and hormonal variables (BDNF, testosterone, cortisol, SHBG, DHEAS, IGF-1) together with self-reported psychological factors (short five personality, hardiness, sense of coherence, stress, depression) were assessed prior the survival training. Results: During the survival training, 20 conscripts (29%) dropped out. Baseline aerobic fitness (hazard ratio, HR: 0.997, 95% CI: 0.994–0.999, p = 0.006) and serum cortisol (HR: 1.0006, 95% CI: 1.001–1.011, p = 0.017) predicted dropout in Cox regression model. Each 10 m increase in the 12 min running test decreased the risk for dropout by 3%. Conclusion: Although most of the physiological and psychological variables at the baseline did not predict dropout during a short-term winter survival military training, baseline information of aerobic fitness and serum cortisol concentration may be useful to target support for individuals at higher potential risk for dropout.