Between-individual differences in coping with stress encompass neurophysiological, cognitive and behavioural reactions. The coping style model proposes two alternative response patterns to challenges that integrate these types of reactions. The "proactive strategy" combines a general fight-or-flight response and inflexibility in learning with a relatively low HPA (hypothalamic-pituitary-adrenal) response. The "reactive strategy" includes risk aversion, flexibility in learning and an enhanced HPA response. Although numerous studies have investigated the possible covariance of cognitive, behavioural and physiological responses, findings are still mixed. In the present study, we tested the predictions of the coping style model in an unselected population of bank voles (Myodes glareolus) (N = 70). We measured the voles' boldness, activity, speed and flexibility in learning and faecal corticosterone metabolite levels under three conditions (holding in indoor cages, in outdoor enclosures and during open field test). Individuals were moderately consistent in their HPA response across situations. Proactive voles had significantly lower corticosterone levels than reactive conspecifics in indoor and outdoor conditions. However, we could not find any co-variation between cognitive and behavioural traits and corticosterone levels in the open field test. Our results partially support the original coping style model but suggest a more complex relationship between cognitive, behavioural and endocrine responses than was initially proposed.