The hypothalamic-pituitary-adrenal (HPA) axis is an important component of neuroendocrine stress regulation and coping behavior. Transcriptome profiles of the hypothalamus and adrenal gland were assessed to identify molecular pathways and candidate genes for coping behavior in pigs. Ten each of high- (HR) and low- (LR) reactive pigs (n = 20) were selected for expression profiling based haplotype information of a prominent QTL-region on SSC12 discovered in our previous genome-wide association study (GWAS) on coping behavior. Comparing the HR and LR pigs showed 692 differentially expressed genes (DEGs) in the adrenal gland and 853 DEGs in the hypothalamus, respectively. Interestingly, 47% (17 out of 36) of DEGs found in both tissues were located in GWAS regions identified on SSC12, indicating that there are significant functional positional candidate genes for coping behaviour. Pathway analysis assigned DEGs to glucocorticoid receptor signaling in the adrenal gland. Furthermore, oxidative phosphorylation, mitochondrial dysfunction, and NGF signaling as well as cholecystokinin/Gastrin-mediated were identified in the hypothalamus. We narrowed the list of candidate genes in GWAS regions by analyzing their DEGs in the HPA axis. The top identified transcripts, including ATP1B2, AURKB, MPDU1 and NDEL1 provide evidence for molecular correlates of coping behavior in GWAS regions.