Stress activation of the hypothalamic–pituitary–adrenal (HPA) axis culminates in increased circulating corticosteroid concentrations. Stress-induced corticosteroids exert diverse actions in multiple target tissues over a broad range of timescales, ranging from rapid actions, which are induced within seconds to minutes and gene transcription independent, to slow actions, which are delayed, long lasting, and transcription dependent. Rapid corticosteroid actions in the brain include, among others, a fast negative feedback mechanism responsible for shutting down the activated HPA axis centrally. We provide a brief review of the cellular mechanisms responsible for rapid corticosteroid actions in different brain structures of the rat, including the hypothalamus, hippocampus, amygdala, and in the anterior pituitary. We propose a model for the direct feedback inhibition of the HPA axis by glucocorticoids in the hypothalamus. According to this model, glucocorticoids activate membrane glucocorticoid receptors to induce endocannabinoid synthesis in the hypothalamic paraventricular nucleus (PVN) and retrograde cannabinoid type I receptor-mediated suppression of the excitatory synaptic drive to PVN neuroendocrine cells. Rapid corticosteroid actions in the hippocampus, amygdala, and pituitary are mediated by diverse cellular mechanisms and may also contribute to the rapid negative feedback regulation of the HPA neuroendocrine axis as well as to the stress regulation of emotional and spatial memory formation.