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ABSTRACT There are complex interactions between an organism's microbiome and its response to stressors, often referred to as the ‘gut–brain axis’; however, the ecological relevance of this axis in wild animals remains poorly understood. Here, we used a chronic mild stress protocol to induce stress in wild-caught house sparrows (Passer domesticus), and compared microbial communities among stressed animals, those recovering from stress, captive controls (unstressed) and a group not brought into captivity. We assessed changes in microbial communities and abundance of shed microbes by culturing cloacal samples on multiple media to select for aerobic and anaerobic bacteria and fungi. We complemented this with cultivation-independent 16S and ITS rRNA gene amplification and sequencing, pairing these results with host physiological and immune metrics, including body mass change, relative spleen mass and plasma corticosterone concentrations. We found significant effects of stress and captivity on the house sparrow microbiomes, with stress leading to an increased relative abundance of endotoxin-producing bacteria – a possible mechanism for the hyperinflammatory response observed in captive avians. While we found evidence that the microbiome community partially recovers after stress cessation, animals may lose key taxa, and the abundance of endotoxin-producing bacteria persists. Our results suggest an overall link between chronic stress, host immune system and the microbiome, with the loss of potentially beneficial taxa (e.g. lactic acid bacteria), and an increase in endotoxin-producing bacteria due to stress and captivity. Ultimately, consideration of the host's microbiome may be useful when evaluating the impact of stressors on individual and population health.