The main glucocorticoids involved in the stress response are cortisol and cortisone in most mammals and corticosterone in birds and rodents. Therefore, these analytes are currently the biomarkers more frequently used to evaluate the physiological response to a stressful situation. In addition, “total glucocorticoids”, which refers to the quantification of various glucocorticoids by immunoassays showing cross-reactivity with different types of glucocorticoids or related metabolites, can be measured. In this review, we describe the characteristics of the main glucocorticoids used to assess stress, as well as the main techniques and samples used for their quantification. In addition, we analyse the studies where at least two of the main glucocorticoids were measured in combination. Overall, this review points out the different behaviours of the main glucocorticoids, depending on the animal species and stressful stimuli, and shows the potential advantages that the measurement of at least two different glucocorticoid types can have for evaluating welfare.