To clarify the differences between migratory and non‐migratory salmonids during the parr‐smolt transformation, we conducted experiments on steelhead (SH) and rainbow trout (RT) Oncorhynchus mykiss. We examined relationships among different parameters of osmoregulatory, endocrine, immune, and stress‐related regulation in these fish following free selection of salinities. For this, we used an experimental halocline aquarium in which the upper layer was filled with fresh water and the lower with seawater. There was no significant difference between the two trout strains in terms of the number of fish in the final positions after the overnight trial. However, the time spent by each fish in the lower tank during the overnight trial was significantly longer in SH than in RT. Additionally, the time spent by each fish in the lower tank and plasma cortisol concentration were significantly correlated in RT, but not in SH. Similarly, plasma osmolality after the trial had a significant positive correlation with plasma cortisol concentration in RT, but not in SH. The plasma cortisol and mRNA levels of sodium‐potassium ATPase‐α3 in the gill were negatively correlated, as were several types of cortisol receptors in the gill and brain, in RT. Meanwhile, the genes expressed in SH were positively correlated with plasma cortisol. In SH, plasma cortisol was also significantly correlated with immune and stress‐related factors, which was not seen in RT. Our results suggest that the studied factors are important to behavioral and physiological differences in anadromy among salmonid species.