Information theory has been applied productively across biology, but it has been used minimally in endocrinology. Here, we advocate for the integration of information theory into stress endocrinology. Presently, the majority of models of stress center on the regulation of hormone concentrations, even though what interests most endocrinologists and matters in terms of individual health and evolutionary fitness is the information content of hormones. In neuroscience, the free energy principle, a concept offered to explain how the brain infers current and future states of the environment, could be a guide for resolving how information is instantiated in hormones such as the glucocorticoids. Here, we offer several ideas and promising options for research addressing how hormones encode and cells respond to information in glucocorticoids.