Chemical cues released as a by‐product of predation mediate antipredator behaviour, but little is known about the physiological responses to olfactory detection of predation risk. In this study, zebrafish Danio rerio were exposed to either chemical alarm cues from conspecifics, or water (control). Compared with water controls, D. rerio exposed to alarm cues responded behaviourally with antipredator behaviours such as erratic dashing and an increase in time spent near the bottom of the test aquarium. Danio rerio were sacrificed 5 min after exposure to test cues (alarm cues or water). Enzyme‐linked immunosorbent assay (ELISA) revealed whole‐body levels of cortisol that were significantly higher for fish exposed to alarm cues (mean ± SE, 11.9 ± 3.4 ng g−1) than control fish (1.5 ± 0.7 ng g−1). These data provide a benchmark for future studies of the proximate mechanisms of olfactorily mediated antipredator responses, modelling effects on aquatic life in a changing climate and, as a model organism, Danio rerio can further our understanding of anxiety in humans.