Human–animal interactions and the emotional relationship of the owner with the pet are the subjects of many scientific studies and the constant interest of not only scientists but also pet owners. The aim of this study was to determine and compare the hair cortisol levels of dogs, cats, and their owners living in the same household. The owners were asked to complete a questionnaire concerning the frequency of their interactions with pets and emotional relationship with each of their cats and each of their dogs. The study involved 25 women who owned at least one dog and at least one cat. In total, 45 dogs and 55 cats from 25 households participated in the study. The average level of hair cortisol of the owners was 4.62 ng/mL, of the dogs 0.26 ng/mL, and in the hair of cats 0.45 ng/mL. There was no significant correlation between the hair cortisol level of the owner and dog or the owner and the cat and between dogs and cats living together. A significant positive correlation was observed between the hair cortisol level in the owner and the pet, for dogs in which the owner performs grooming treatments once a week and for cats which are never kissed. Although our study did not find many significant correlations, studies using other stress markers might have yielded different results.