Stress has well-known effects on adrenal glucocorticoid secretion, and chronic elevation of glucocorticoids can have detrimental effects on the brain. Dehydroepiandrosterone (DHEA), an androgen precursor synthesized in the adrenal glands or the brain itself, has anti-glucocorticoid properties, but little is known about the role of DHEA in the stress response, particularly in the brain. Here, we measured the effects of acute restraint on circulating corticosterone (CORT) and DHEA levels in wild song sparrows. Blood was collected from either the brachial or jugular vein. In songbirds, jugular plasma is enriched with neurally-synthesized steroids and, therefore, jugular plasma is an indirect index of the neural steroidal milieu. Subjects were sampled during 4 times of year: breeding, molt, early nonbreeding and mid-nonbreeding. Baseline CORT and DHEA levels showed similar seasonal changes; both steroids were elevated during the breeding season. Baseline CORT and DHEA levels were similar in jugular and brachial plasma. Acute stress had robust effects on CORT and DHEA that were season-specific and vein-specific. For CORT, during the molt, stress increased jugular CORT more than brachial CORT. For DHEA, during the breeding season, stress decreased jugular DHEA but not brachial DHEA. During the molt, stress increased jugular DHEA but not brachial DHEA. Acute stress did not affect brachial DHEA. These data suggest that acute stress specifically affects the balance between DHEA synthesis and metabolism in the brain. Furthermore, these results suggest that CORT and DHEA are locally synthesized in the brain during molt, when systemic levels of CORT and DHEA are low.