Multiple sclerosis (MS) is a chronic inflammatory disease that affects the central nervous system, usually diagnosed during the reproductive period. Both MS and its commonly used animal model, experimental autoimmune encephalomyelitis (EAE), exhibit sex-specific features regarding disease progression and disturbances in the neuroendocrine and endocrine systems. This study investigates the hypothalamic–pituitary–adrenal (HPA) axis response of male and female Dark Agouti rats during EAE. At the onset of EAE, Crh expression in the hypothalamus of both sexes is decreased, while males show reduced plasma adrenocorticotropic hormone levels. Adrenal gland activity is increased during EAE in both males and females, as evidenced by enlarged adrenal glands and increased StAR gene and protein expression. However, only male rats show increased serum and adrenal corticosterone levels, and an increased volume of the adrenal cortex. Adrenal 3β-HSD protein and progesterone levels are elevated in males only. Serum progesterone levels of male rats are also increased, although testicular progesterone levels are decreased during the disease, implying that the adrenal gland is the source of elevated serum progesterone levels in males. Our results demonstrate a sex difference in the response of the HPA axis at the adrenal level, with male rats showing a more pronounced induction during EAE.