Changes to long-term secretion of the glucocorticoid cortisol are considered to play a crucial role in mediating the link between chronic stress and the development of numerous immune system related diseases. However, obtaining valid assessments of long-term cortisol levels is difficult due to limitations of previous measurement strategies in blood, saliva or urine. This review discusses evidence on a recent methodological development assumed to provide a considerable advancement in this respect: the analysis of cortisol in hair. Being incorporated into the growing hair, hair cortisol concentrations (HCC) are assumed to provide a retrospective reflection of integrated cortisol secretion over periods of several months. Over the past years, supportive evidence has accumulated regarding several fundamental characteristics of HCC, including its validity as an index of long-term systemic cortisol levels, its reliability across repeated assessments and its relative robustness to a range of potential confounding influences. Based on this groundwork, research has now also commenced to utilise HCC for answering more specific questions regarding the role of long-term cortisol secretion in different stress and health-related conditions. The possibility of extending hair analysis to also capture long-term secretion of other steroid hormones (e.g., androgens or estrogens) provides a further intriguing prospect for future research. Given its unique characteristics, the use of hair analysis holds great promise to significantly enhance current understanding on the role of steroid hormones in psychoimmunological research.