In Long COVID, dysfunction in the pituitary–adrenal axis and alterations in immune cells and inflammatory status are warned against. We performed a prospective study in a cohort of 42 patients who suffered COVID-19 at least 6 months before attending the Long COVID unit at Althaia Hospital. Based on Post-COVID Functional Status, 29 patients were diagnosed with Long COVID, while 13 were deemed as recovered. The hormones of the pituitary–adrenal axis, adrenocorticotropin stimulation test, and immune cell profiles and inflammatory markers were examined. Patients with Long COVID had significantly lower EuroQol and higher mMRC scores compared to the recovered individuals. Their symptoms included fatigue, myalgia, arthralgia, persistent coughing, a persistent sore throat, dyspnoea, a lack of concentration, and anxiety. We observed the physiological levels of cortisol and adrenocorticotropin in individuals with or without Long COVID. The results of the adrenocorticotropin stimulation test were similar between both groups. The absolute number of neutrophils was lower in the Long COVID patients compared to recovered individuals (p < 0.05). The total count of B lymphocytes remained consistent, but Long COVID patients had a higher percentage of mature B cells compared to recovered participants (p < 0.05) and exhibited a higher percentage of circulating resident memory CD8+ T cells (p < 0.05) and Treg-expressing exonucleases (p < 0.05). Our findings did not identify adrenal dysfunction related to Long COVID, nor an association between adrenal function and clinical symptoms. The data indicated a dysregulation in certain immune cells, pointing to immune activation. No overt hyperinflammation was observed in the Long COVID group.