Objective To determine the prognostic value of cortisol, Dehydroepiandrosterone (DHEA) and Dehydroepiandrosterone-sulfate (DHEAS), together with their ratios (cortisol/DHEA and cortisol/DHEAS), as independent predictors of mortality in septic patients. Methods Prospective cohort study of 139 consecutive patients with a diagnosis of severe sepsis or septic shock. Adrenal hormones were determined within the first 24 hours of the septic process. To determine and compare the predictive ability of each marker for the risk of unfavorable evolution (in-hospital, 28-day and 90-day mortality), ROC (Receiver Operating Characteristic) curves were constructed and the area under the curve (AUC) was determined. As measures of association, adjusted odds ratios (OR) with their 95% confidence intervals (95%CI) were estimated by unconditional logistic regression. Cortisol, DHEA and DHEAS results were compared to lactate, CRP, SOFA and APACHE II Scores. Results Cortisol showed the best predictive ability, with AUCs of 0.758, 0.759 and 0.705 for in-hospital mortality, and 28-day and 90-day mortality, respectively; whereas AUCs for 28 days mortality for SOFA and APACHE II scores, and other biomarkers studied, such as Lactate or CRP, were 0.644, 0.618, 0.643 and 0.647, respectively. Associations between high cortisol levels (>17.5 μg/dL) and mortality were strong and statistically significant for in-hospital and 28-day mortality: adjusted ORs 10.13 and 9.45 respectively, and lower for long term mortality (90 days): adjusted OR 4.26 (95% CI 1.34–13.56), p trend 0.014. Regarding adrenal androgens, only positive associations were obtained for DHEAS and most of these positive associations did not yield statistical significance. Regarding Cortisol/DHEA and cortisol/DHEAS ratios, they did not improve the predictive ability of cortisol. The only exception was the cortisol/DHEAS ratio, which was the best predictor of mortality at 90 days (AUC 0.737), adjusted OR for highest cortisol/DHEAS ratio values 6.33 (95%CI 1.77–22.60), p trend 0.002. Conclusion Basal cortisol measured within the first 24 hours of the septic process was the best prognostic factor for in-hospital and 28-day mortality, even superior to the Sequential Organ Failure Assessment (SOFA) or Acute Physiology and Chronic Health Evaluation II (APACHE II) scores. The cortisol/DHEAS ratio was an independent predictor of long-term mortality.