The molecular mechanisms by which stress induces the development of pathologies remains unclear, although it is recognised that one of the major factors affecting health as a consequence of stress is the involvement of the neuroendocrine system. In cattle, a number of necessary husbandry practices have been shown to activate the stress response, yet very little is known about the impact these have at the molecular level. The objectives of the study were to characterise, in male and female beef calves, the immune response to weaning stress in bovine leukocytes at the physiological and molecular levels and to assess the difference between calves weaned in the presence of the dam and those weaned and penned away from the dam. Following exposure to weaning stress, total neutrophil number and neutrophil:lymphocyte (N:L) ratio increased (P < 0.01) in calves. Additionally, expression of pro-inflammatory cytokine genes, including IL-1β, IL-8, IFN-γ and TNFα, were up-regulated (P < 0.01). Furthermore, there was increased (P < 0.001) expression of the glucocorticoid receptor, GRα, the pro-apoptotic gene, Fas and the Gram-negative pattern recognition receptor, TLR4. Calves penned away from the dam post-weaning had increased (P < 0.01) neutrophil number and N:L ratio compared with calves penned next to the dam, and female calves had higher (P < 0.05) expression levels of IL-2, IL-8, IFN-γ and TNFα than male calves. Weaning elicits an immediate and somewhat short-lived acute stress response in the calf. The effects serve to enhance, rather than suppress, the immune response by means of a heightened inflammatory response and cellular mobilization. The earlier and more profound increase in neutrophil number and N:L ratio together with reduced lymphocyte number in calves penned away compared with calves penned near their dams post-weaning suggests that the former may be more sensitive to weaning stress. The data also show a clear effect of gender in differential gene expression in response to stress with IFN-γ having increased expression in female calves compared with male calves over the course of the study. Additionally, this study has helped to characterise the inflammatory response to stress in calves and identify a number of novel candidate biomarkers suitable for investigation in future studies of stress.