To survive, animals must respond appropriately to stress. Stress responses are costly, so early-life experiences with potential stressors could adaptively tailor adult stress responses to local conditions. However, how multiple stressors influence the development of the stress response remains unclear, as is the role of sex. Trinidadian guppies (Poecilia reticulata) are small fish with extensive life-history differences between the sexes and population variation in predation pressure and social density. We investigated how sex and early-life experience influence hormonal stress responses by manipulating conspecific density and perceived predation risk during development. In adults, we sampled cortisol twice to measure initial release and change over time in response to a recurring stressor. The sexes differed considerably in their physiological stress response. Males released more cortisol for their body mass than females and did not reduce cortisol release over time. By contrast, all females, except those reared at high density together with predation cues, reduced cortisol release over time. Cortisol responses of males were thus less dynamic in response to current circumstances and early-life experiences than females, consistent with life-history differences between the sexes. Our study underscores the importance of early-life experiences, interacting ecological factors and sex differences in the organization of the stress response.