Individual physiological variation may underlie individual differences in behaviour in response to stressors. This study tested the hypothesis that individual variation in dopamine and corticosteroid physiology in wild house sparrows (Passer domesticus, n = 15) would significantly predict behaviour and weight loss in response to a long-term stressor, captivity. We found that individuals that coped better with captivity (fewer anxiety-related behaviours, more time spent feeding, higher body mass) had lower baseline and higher stress-induced corticosteroid titres at capture. Birds with higher striatal D2 receptor binding (examined using positron emission tomography (PET) with 11C-raclopride 24 h post-capture) spent more time feeding in captivity, but weighed less, than birds with lower D2 receptor binding. In the subset of individuals imaged a second time, D2 receptor binding decreased in captivity in moulting birds, and larger D2 decreases were associated with increased anxiety behaviours 2 and 4 weeks post-capture. This suggests changes in dopaminergic systems could be one physiological mechanism underlying negative behavioural effects of chronic stress. Non-invasive technologies like PET have the potential to transform our understanding of links between individual variation in physiology and behaviour and elucidate which neuroendocrine phenotypes predict stress resilience, a question with important implications for both humans and wildlife.