Cortisol is secreted from the adrenal cortex in response to stress, and its circulating levels are used as robust physiological indicators of stress intensity in various animals. Cortisol is also produced locally in adipose tissue by the conversion of steroid hormones such as cortisone, which is related to fat accumulation. Circulating cortisol levels, probably induced by cold stress, increase in cetaceans under cold conditions. However, whether cortisol production in subcutaneous adipose tissue is enhanced when fat accumulation is renewed during the cold season remains unclear. Therefore, in this study, we examine the effect of environmental temperature on the expression of cortisol synthesis-related enzymes and a glucocorticoid receptor in the subcutaneous fat (blubber) and explore the association between these expressions and fluctuations in circulating cortisol levels in common bottlenose dolphins (Tursiops truncatus). Skin biopsies were obtained seasonally from eight female dolphins, and seasonal differences in the expression of target genes in the blubber were analyzed. Blood samples were collected throughout the year, and cortisol levels were measured. We found that the expressions of cytochrome P450 family 21 subfamily A member 2 (CYP21A2) and nuclear receptor subfamily 3 group C member 1 (NR3C1), a glucocorticoid receptor, were increased in the cold season, and 11 beta-hydroxysteroid dehydrogenase type 1 (HSD11B1) showed a similar trend. Blood cortisol levels increased when the water temperature decreased. These results suggest that the conversion of 17-hydroxyprogesterone to cortisol via 11-deoxycortisol and/or of cortisone to cortisol is enhanced under cold conditions, and the physiological effects of cortisol in subcutaneous adipose tissue may contribute to on-site lipid accumulation and increase the circulating cortisol concentrations. The results obtained in this study highlight the role of cortisol in the regulation of the blubber that has developed to adapt to aquatic life.