Stress is a state of physiological or psychological strain caused by adverse stimuli; responses to stress include activation of the sympathetic nervous system, glucocorticoid secretion and emotional behaviors. Prostaglandin E₂ (PGE₂), acting through its four receptor subtypes (EP1, EP2, EP3 and EP4), is involved in these stress responses. Studies of EP-selective drugs and mice lacking specific EPs have identified the neuronal pathways regulated by PGE₂. In animals with febrile illnesses, PGE₂ acts on neurons expressing EP3 in the preoptic hypothalamus. In illness-induced activation of the hypothalamic–pituitary–adrenal axis, EP1 and EP3 regulate distinct neuronal pathways that converge at the paraventricular hypothalamus. During psychological stress, EP1 suppresses impulsive behaviors via the midbrain dopaminergic systems. PGE₂ promotes illness-induced memory impairment, yet also supports hippocampus-dependent memory formation and synaptic plasticity via EP2 in physiological conditions. In response to illness, PGE₂ is synthesized by enzymes induced in various cell types inside and outside the brain, whereas constitutively expressed enzymes in neurons and/or microglia synthesize PGE₂ in response to psychological stress. Dependent on the type of stress stimuli, PGE₂ released from different cell types activates distinct EP receptors, which mobilize multiple neuronal pathways, resulting in stress responses.