The Addax nasomaculatus is an African antelope currently considered “critically endangered”. There is little scientific knowledge about the species, which could potentially aid in species conservation. The objective of this study was to determine how hair cortisol concentration and hair color vary according to sex, body site, and season across a whole year in zoo-housed addax. The addax population was housed at Parque Lecocq Zoo, Uruguay. Hair samples were taken from the shoulder and rump in autumn, winter, spring, and summer. Hair cortisol concentration in addax varied according to sex, with males exhibiting a higher hair cortisol concentration than females (1.03 ± 0.05 pg/mg vs. 0.91 ± 0.05 pg/mg, p = 0.016, respectively), with these differences being more significant in the spring (p < 0.0001). Hair cortisol concentration varied across seasons (p < 0.0001), with maximum values observed in summer. The color parameters (L*, a*, and b*) varied across seasons (p < 0.0001). The coat was blacker and yellower in winter and whiter in summer. Males had darker and greener hair color than females (p < 0.05). Sex and season-driven variation in hair cortisol concentration and hair color seem to be important elements to consider in relation to thermal comfort and animal welfare in addax, highlighting the warmer seasons as critical.