While urbanization exposes individuals to novel challenges, urban areas may also constitute stable environments in which seasonal fluctuations are buffered. Baseline and stress-induced plasma corticosterone (cort) levels are often found to be similar in urban and rural populations. Here we aimed to disentangle two possible mechanisms underlying such pattern: (i) urban environments are no more stressful or urban birds have a better ability to habituate to stressors; or (ii) urban birds developed desensitized stress responses. We exposed wild-caught urban and rural house sparrows (Passer domesticus) to combined captivity and diet treatments (urban versus rural diet) and measured corticosterone levels both in natural tail feathers and in regrown homologous ones (cortf). Urban and rural house sparrows showed similar cortf levels in the wild and in response to novel stressors caused by the experiment, supporting the growing notion that urban environments are no more stressful during the non-breeding season than are rural ones. Still, juveniles and males originating from urban populations showed the highest cortf levels in regrown feathers. We did not find evidence that cortf was consistent within individuals across moults. Our study stresses the need for incorporating both intrinsic and environmental factors for the interpretation of variation in cortf between populations.