Bolder individuals have greater access to food sources and reproductive partners but are also at increased risk of predation. Boldness is believed to be consistent across time and contexts, but few studies have investigated the stability of this trait across variable environments, such as varying stress loads or long periods of time. Moreover, the underlying molecular components of boldness are poorly studied. Here, we report that boldness of 1154 European sea bass, evaluated using group risk-taking tests, is consistent over seven months and for individuals subjected to multiple environments, including a chronically stressful environment. Differences in risk-taking behaviour were further supported by differences observed in the responses to a novel environment test: shy individuals displayed more group dispersion, more thigmotaxic behaviour and lower activity levels. Transcriptomic analyses performed on extreme phenotypes revealed that bold individuals display greater expression for genes involved in social and exploration behaviours, and memory in the pituitary, and genes involved in immunity and responses to stimuli in the head kidney. This study demonstrates that personality traits come with an underpinning molecular signature, especially in organs involved in the endocrine and immune systems. As such, our results help to depict state–behaviour feedback mechanisms, previously proposed as key in shaping animal personality.