Closely related species show a high degree of differences in gene expression, but the functional significance of these differences remains unclear. Similarly, stress responses in yeast typically involve differential expression of numerous genes, and it is unclear how many of these are functionally significant. To address these issues, we compared the expression programs of four yeast species under different growth conditions, and found that the response of these species to stress has diverged extensively. On an individual gene basis, most transcriptional responses are not conserved in any pair of species, and there are very limited common responses among all four species. We present evidence that many evolutionary changes in stress responses are compensated either (i) by the response of related genes or (ii) by changes in the basal expression levels of the genes whose responses have diverged. Thus, stress-related genes are often induced upon stress in some species but maintain high levels even in the absence of stress at other species, indicating a transition between induced and constitutive activation. In addition, ~15% of the stress responses are specific to only one of the four species, with no evidence for compensating effects or stress-related annotations, and these may reflect fortuitous regulation that is unimportant for the stress response (i.e., biological noise). Frequent compensatory changes and biological noise may explain how diverged expression responses support similar physiological responses.