The response of the hypothalamic-pituitary-adrenal (HPA) axis to the sustained stress of sepsis has been the focus of study in recent years because the early phase of sepsis is known to be dominated by major alterations in the HPA axis. This prospective observational study aimed at assessing the predictive values of copeptin and HPA hormones in determining sepsis progression and mortality in the emergency department (ED). Serum arginine vasopressin (AVP) and copeptin concentrations were measured upon ED admission. Baseline levels of total and free cortisol and adrenocorticotrophic hormone (ACTH) were measured within 24 h of ED admission. Mortality in Emergency Department Sepsis (MEDS) score was calculated at enrollment. Our findings demonstrated that serum copeptin, baseline total cortisol, baseline free cortisol and baseline ACTH concentrations gradually increased, based upon the increasing severity of the disease (p < 0.001). Multivariate logistic regression analysis showed that copeptin and total cortisol baseline concentrations were independent predictors of septic shock (odds ratio = 1.034 and 1.355, respectively) and 28-day mortality (odds ratio = 1.039 and 1.499, respectively). The areas under the receiver operating characteristic curve (AUC) for copeptin level in prediction of septic shock was 0.856 and 28-day mortality was 0.826. Importantly, AUC analysis of the combination of copeptin, total cortisol baseline, MEDS score, and procalcitonin level resulted in a more significant prognostic ability than analysis of each parameter alone (p < 0.001). Increased copeptin and HPA hormones baseline levels may provide crucial information for risk stratification in a variety of septic states in the ED. Furthermore, measurements of copeptin level and serum baseline cortisol concentration are promising independent prognostic markers for mortality in patients with severe sepsis or septic shock.