Sex change occurs as a usual part of the life cycle for many teleost fish and the modifications involved (behavioural, gonadal, morphological) are well studied. However, the mechanism that transduces environmental cues into the molecular cascade that underlies this transformation remains unknown. Cortisol, the main stress hormone in fish, is hypothesised to be a key factor linking environmental stimuli with sex change by initiating gene expression changes that shift steroidogenesis from oestrogens to androgens but this notion remains to be rigorously tested. Therefore, this study aimed to experimentally test the role of cortisol as an initiator of sex change in a protogynous (female-to-male) hermaphrodite, the New Zealand spotty wrasse (Notolabrus celidotus). We also sought to identify potential key regulatory factors within the head kidney that may contribute to the initiation and progression of gonadal sex change. Cortisol pellets were implanted into female spotty wrasses under inhibitory conditions (presence of a male), and outside of the optimal season for natural sex change. Histological analysis of the gonads and sex hormone analyses found no evidence of sex change after 71 days of cortisol treatment. However, expression analyses of sex and stress-associated genes in gonad and head kidney suggested that cortisol administration did have a physiological effect. In the gonad, this included upregulation of amh, a potent masculinising factor, and nr3c1, a glucocorticoid receptor. In the head kidney, hsd11b2, which converts cortisol to inactive cortisone to maintain cortisol balance, was upregulated. Overall, our results suggest cortisol administration outside of the optimal sex change window is unable to initiate gonadal restructuring. However, our expression data imply key sex and stress genes are sensitive to cortisol. This includes genes expressed in both gonad and head kidney that have been previously implicated in early sex change in several sex-changing species.