Many Australian marsupials are threatened species. In order to manage in situ and ex situ populations effectively, it is important to understand how marsupials respond to threats. Stress physiology (the study of the response of animals to challenging stimuli), a key approach in conservation physiology, can be used to characterize the physiological response of wildlife to threats. We reviewed the literature on the measurement of glucocorticoids (GCs), endocrine indicators of stress, in order to understand the stress response to conservation-relevant stressors in Australian marsupials and identified 29 studies. These studies employed a range of methods to measure GCs, with faecal glucocorticoid metabolite enzyme immunoassay being the most common method. The main stressors considered in studies of marsupials were capture and handling. To date, the benefits of stress physiology have yet to be harnessed fully in marsupial conservation. Despite a theoretical base dating back to the 1960s, GCs have only been used to understand how 21 of the 142 extant species of Australian marsupial respond to stressors. These studies include merely six of the 60 marsupial species of conservation concern (IUCN Near Threatened to Critically Endangered). Furthermore, the fitness consequences of stress for Australian marsupials are rarely examined. Individual and species differences in the physiological stress response also require further investigation, because significant species-specific variations in GC levels in response to stressors can shed light on why some individuals or species are more vulnerable to stress factors while others appear more resilient. This review summarizes trends, knowledge gaps and future research directions for stress physiology research in Australian marsupial conservation.