Glucocorticoids coordinate responses that enable an individual to cope with stressful challenges and, additionally, mediate adaptation following cessation of a stressor. There are important individual differences in the magnitude of glucocorticoid responsiveness to stressors. However, whether individual differences in glucocorticoid responsiveness to stress are linked to different behavioral strategies in coping with social and non-social challenges is not easily studied, owing to the lack of appropriate animal models. To address this, we generated three lines of Wistar rats selectively bred for the magnitude of their glucocorticoid responses following exposure to a variety of stressors over three consecutive days at juvenility. Here, we present findings following observations of a high level of variation in glucocorticoid responsiveness to stress in outbred Wistar rats, and the strong response to selection for this trait over a few generations. When challenged with different stressful challenges, rats from the three lines differed in their coping behaviors. Strikingly, the line with high glucocorticoid responsiveness to stress displayed enhanced aggression and anxiety-like behaviors. In addition, these rats also showed alterations in the expression of genes within both central and peripheral nodes of the hypothalamic-pituitary-adrenal (HPA) axis and enhanced reactivity to acute stress exposure. Together, these findings strongly link differences in glucocorticoid responsiveness to stress with marked differences in coping styles. The developed rat lines are thus a promising model with which to examine the relationship between variation in reactivity of the HPA axis and stress-related pathophysiology and could be employed to assess the therapeutic potential of treatments modulating stress habituation to ameliorate psychopathology.