AbstractGenetically‐selected Marchigian Sardinian alcohol‐preferring (msP) rats display comorbid symptoms of increased alcohol preference and elevated anxiety‐like behavior. Heightened stress sensitivity in msPs is influenced by genetic polymorphisms of the corticotropin‐releasing factor receptor in the central nucleus of the amygdala (CeA), as well as reduced influence of anti‐stress mechanisms that normally constrain the stress response. Given this propensity for stress dysregulation, in this study, we expand on the possibility that msPs may display differences in neuroendocrine processes that normally terminate the stress response. We utilized behavioral, biochemical, and molecular assays to compare basal and restraint stress‐induced changes in the hypothalamic–pituitary–adrenal (HPA) axis of male and female msPs relative to their nonselected Wistar counterparts. The results showed that msPs display deficits in marble‐burying behavior influenced by environmental factors and procedures that modulate arousal states in a sex‐dependent manner. Whereas male msPs display evidence of dysregulated neuroendocrine function (higher adrenocorticotropic hormone levels and subthreshold reductions in corticosterone), females display restraint‐induced elevations in corticosterone levels that were persistently higher in msPs. A dexamethasone challenge reduced the circulation of these stress hormones, although the reduction in corticosterone was generally attenuated in msP versus Wistar rats. Finally, we found evidence of diminished stress‐induced glucocorticoid receptor (GR) phosphorylation in the hypothalamic paraventricular nucleus of msPs, as well as innate increases in phosphorylated GR levels in the CeA of male msPs. Collectively, these findings suggest that negative feedback processes regulating HPA responsiveness are diminished in msP rats, possibly underlying differences in the expression of anxiety‐like behaviors.