Glucocorticoids (GCs) are metabolic hormones that regulate physiological and behavioural responses to environmental change and mediate homeostasis maintenance in vertebrates. Despite the assumption that GCs covary with energy metabolism, we yet lack a mechanistic understanding of how environmental factors such as temperature modulate GC variation through their effect on organismal energy balance. In particular, the mechanisms linking temperature-dependent metabolic rate and GCs at broad spatial scales and across species remain poorly investigated. Here we used biophysical models to calculate thermoregulatory costs (i.e., the amount of heat required to keep body temperature in homeostasis) of free-living birds as a function of environmental conditions, body size, shape, and insulating layer of feathers. We then investigated the link between ambient temperature, cost of thermoregulation and baseline plasma GC concentrations in a comparative study including GC data from 94 bird species from HormoneBase. We found a significant, positive association between thermoregulatory costs and baseline GC concentrations. Interestingly, models including thermoregulatory costs better explained GC variation when compared to those including ambient temperature as a predictor variable. This result suggests that body size and shape fundamentally modulate energy requirements for thermoregulation and thereby GC concentrations in the wild. By providing a mechanistic description of the link between ambient temperature and thermoregulatory metabolism, biophysical models provide a tool to predict the impact of environmental conditions on energy metabolism. Our work demonstrates that differences in thermoregulation modulate variation in GC concentrations across a broad climatic gradient.