In this study, we explored the correlations between circulating levels of oxytocin, cortisol, and different social behaviors toward humans in 26 Italian Red Pied calves (all females, with an average age of 174 ± 24 days) using the impossible task paradigm. This paradigm has proved fruitful in highlighting the effect of socialization on the willingness to interact with humans in several domesticated species. The test consists of the violation of an expectation (recovering food from an experimental apparatus) while a caregiver and a stranger are present. Immediately after the end of the test (less than one minute), blood was collected from the coccygeal vein. Statistics were performed by the Spearman’s rank correlation; significant differences were adjusted according to Bonferroni’s correction. Cortisol correlates positively (ρ = 0.565; p p p < 0.05). Contrary to what is reported in the literature on cows, no correlations were found between oxytocin levels and direct behaviors toward the caregiver. This highlights a different behavioral strategy between calves and cows when placed in front of an impossible task.