Obesity, exposure to stress and inadequate sleep are prevalent phenomena in modern society. In this review we focus on their relationships and critically evaluate causality. In obese individuals, one of the main stress systems, the hypothalamic-pituitary-adrenal axis, is altered, and concentrations of cortisol are elevated in adipose tissue due to elevated local activity of 11β-hydroxysteroid dehydrogenase (HSD) type 1. Short sleep and decreased sleep quality are also associated with obesity. In addition, experimental sleep curtailment induces HPA-axis alterations which, in turn, may negatively affect sleep. These findings implicate that obesity, stress and sleep loss are all related in a vicious circle. Finally, we discuss new strategies to combat obesity through modulating cortisol levels in adipose tissue by 11β-HSD(1) inhibitors or by improving sleep duration.