In vertebrates, the adrenocortical stress response activates an emergency life-history stage, which is thought to promote survival by helping individuals escape life-threatening situations. Although the adrenocortical stress response promotes many behavioural and physiological changes, it remains unclear whether this stress response actually translates into higher survival in wild vertebrates. We measured the adrenocortical stress response of non-breeding American redstarts (Setophaga ruticilla), a migratory bird that wintered in habitats of either high (mangroves) or low suitability (scrubs), and subsequently monitored their return rate during the following non-breeding seasons. The intensity of the adrenocortical stress response was consistent within individuals across the non-breeding season and was positively correlated with return rates in redstarts that wintered in scrubs, but not in redstarts that wintered in mangroves. Thus, in a context-dependent manner, the ability of an individual to physiologically react to stress determines its ability of returning to its non-breeding territory the following winters. For an individual, the ability to mount an important adrenocortical stress response probably benefits to survival. However, this beneficial effect probably depends on an individual's environment and phenotypic characteristics because these two variables are likely to affect its probability of being confronted with life-threatening stressors during its annual life cycle.