Dysfunction in the hypothalamic-pituitary-adrenal (HPA) axis has been proposed as a biological endophenotype for affective disorders. In the present study the hypothesis that a high genetic liability to affective disorder is associated with higher cortisol levels was tested in a cross-sectional high-risk study. Healthy monozygotic (MZ) and dizygotic (DZ) twins with (High-Risk twins) and without (Low-Risk twins) a co-twin history of affective disorder were identified through nationwide registers. Awakening and evening salivary cortisol levels were compared between the 190 High- and Low-Risk twins. The 109 High-Risk twins had significantly higher evening cortisol levels than the 81 Low-Risk MZ twins, also after adjustment for age, sex, and the level of subclinical depressive symptoms. No significant difference was found in awakening cortisol levels between High-Risk and Low-Risk twins. In conclusion, a high genetic liability to affective disorder was associated with a higher evening cortisol level, but not with awakening cortisol level. Future prospective family, high-risk and twin studies are needed to decide whether abnormalities in the HPA axis can be identified as an endophenotype of affective disorder.