Coronavirus disease 2019 (COVID-19) is a highly heterogeneous disease regarding severity, vulnerability to infection due to comorbidities, and treatment approaches. The hypothalamic–pituitary–adrenal (HPA) axis has been identified as one of the most critical endocrine targets of severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) that might significantly impact outcomes after infection. Herein we review the rationale for glucocorticoid use in the setting of COVID-19 and emphasize the need to have a low index of suspicion for glucocorticoid-induced adrenal insufficiency, adjusting for the glucocorticoid formulation used, dose, treatment duration, and underlying health problems. We also address several additional mechanisms that may cause HPA axis dysfunction, including critical illness-related corticosteroid insufficiency, the direct cytopathic impacts of SARS-CoV-2 infection on the adrenals, pituitary, and hypothalamus, immune-mediated inflammations, small vessel vasculitis, microthrombotic events, the resistance of cortisol receptors, and impaired post-receptor signaling, as well as the dissociation of ACTH and cortisol regulation. We also discuss the increased risk of infection and more severe illness in COVID-19 patients with pre-existing disorders of the HPA axis, from insufficiency to excess. These insights into the complex regulation of the HPA axis reveal how well the body performs in its adaptive survival mechanism during a severe infection, such as SARS-CoV-2, and how many parameters might disbalance the outcomes of this adaptation.