Up to now studies on hypothalamic-pituitary-adrenal (HPA) axis activity in psychosis have shown inconsistent findings. These inconsistencies have been often ascribed to confounding effects of long duration of illness and chronic treatment with psychotropic medications of the subjects studied (chronic psychosis). In the last years, several studies have focused on the study of subjects at their first episode of psychosis to overcome these possible confounders. The aim of this paper was to review the literature investigating HPA axis activity in first episode psychosis. Findings from these studies support the presence of HPA axis hyperactivity and a blunted HPA axis response to stress at the onset of psychosis. Possible biological pathways linking these HPA axis abnormalities to the development of psychosis are discussed.