The adrenal steroid hormones, cortisol and dehydroepiandrosterone sulfate (DHEAS), are associated with the immune system in opposite actions. This study aimed to investigate the relationship between cortisol and DHEAS serum concentrations, their ratio (CDR), and natural killer cell activity (NKA). This cross-sectional study included 2275 subjects without current infection or inflammation in the final analyses. NKA was estimated by measuring the amount of interferon-gamma (IFN-γ) released by activated natural killer cells; low NKA was defined as IFN-γ level < 500 pg/mL. Cortisol, DHEAS levels, and CDRs were categorized by quartiles in men, premenopausal women, and postmenopausal women. Compared with the lowest quartile as reference, the adjusted odd ratios (ORs) and 95% confidence intervals (CIs) for low NKA of the highest cortisol and CDR group were 1.66 (1.09–2.51) and 1.68 (1.11–2.55) in men, 1.58 (1.07–2.33) and 2.33 (1.58–3.46) in premenopausal women, and 2.23 (1.28–3.87) and 1.85 (1.07–3.21) in postmenopausal women. Only in premenopausal women, the highest DHEAS group showed significantly lower risk of low NKA (OR: 0.51, 95% CI: 0.35–0.76). HPA axis activation indicated as high cortisol level, CDR was significantly associated with low NKA, while high DHEAS levels were inversely associated with low NKA in premenopausal women.