The rapid effects of glucocorticoids on various behaviors suggest that these hormones play a role in rapidly coping with challenging situations. The variety of behaviors affected in different situations raise, however, questions regarding the specificity and roles of glucocorticoids in controlling behavior. To clarify this issue, we assessed the rapid behavioral effects of glucocorticoids in the elevated plus-maze (EPM) and the open-field (OF) tests in male rats. Both tests measure three different kinds of behavioral responses: locomotion, anxiety-like behaviors (central area and open arm exploration in the OF and EPM tests, respectively), and risk assessment (investigating aversive areas in a stretched attend posture). The acute inhibition of glucocorticoid synthesis by metyrapone decreased risk assessment but did not affect locomotion and anxiety-like behaviors. Corticosterone administration increased risk assessment, without affecting locomotion and anxiety-like behaviors. Moreover, plasma corticosterone levels measured immediately after testing strongly correlated with the intensity of risk assessment. The effects of corticosterone were rapid, as occurred even when the hormone was injected 2 min before behavioral testing. In addition, the effect was resistant to protein synthesis inhibition. These data demonstrate that glucocorticoids are able to increase specifically risk assessment behaviors by non-genomic mechanisms in two different, novelty-related, non-social challenging situations. Thus, glucocorticoids appear to rapidly induce specific behavioral adjustments to meet immediate requirements set by the challenge. These data support earlier assumptions on the role of glucocorticoids in coping, and it can be hypothesized that the rapid activation of the HPA-axis may play a role in forming coping responses.