It is well established that individual rats exhibit marked differences in behavioral responses to a novel environment. Rats that exhibit high rates of locomotor activity and sustained exploration in such an environment also exhibit high concentrations of stress-induced plasma corticosterone, linking this behavior to the stress system. Furthermore, these high-responding (HR) rats, in contrast to their low-responding (LR) counterparts, have a greater propensity to self-administer drugs. Thus, HR rats have been described as “novelty” seeking in that they are more active and explore novel stimuli more vigorously, despite the fact that this elicits in them high stress responses. In this study, we have further characterized the behavior of HR and LR rats in tests of anxiety and characterized their stress responses to either experimenter- or self-imposed stressors. We then investigated the physiological basis of these individual differences, focusing on stress-related molecules, including the glucocorticoid receptor (GR), the mineralocorticoid receptor (MR), corticotropin-releasing hormone (CRH) and pro-opiomelanocortin (POMC) in the context of the limbic–hypothalamo–pituitary adrenal axis. We have found that HR rats did not differ from LR in their basal expression of POMC in the pituitary. However, HR rats exhibited higher levels of CRH mRNA in the hypothalamic paraventricular nucleus but lower basal levels in the central nucleus of the amygdala. The basal expression of hippocampal MR is not different between HR and LR rats. Interestingly, the basal expression of hippocampal GR mRNA is significantly lower in HR than in LR rats. This low level of hippocampal GR expression in HR rats appears to be responsible, at least in part, for their decreased anxiety in exploring novelty. Indeed, the anxiety level of LR rats becomes similar to HR rats after the administration into the hippocampus of a GR antagonist, RU38486. These data indicate that basal differences in gene expression of key stress-related molecules may play an important role in determining individual differences in responsiveness to stress and novelty. They point to a new role of hippocampal GR, strongly implicating this receptor in determining individual differences in anxiety and novelty-seeking behavior.