Women are twice as likely as men to be diagnosed with anxiety and mood disorders. One potential underlying mechanism is sex differences in physiological and psychological responses to stress; however, no studies to date have investigated this proposed mechanism experimentally. In a double-blind, placebo-controlled design, pharmacological challenges were administered to individually suppress the hypothalamic–pituitary–adrenal (HPA) axis, or the sympathetic nervous system (SNS) prior to stress exposure, to investigate sex differences in the resulting cross talk among the physiological and psychological stress responses. Sex-specific compensatory patterns and psychological effects emerged when the stress systems were manipulated. Men demonstrated heightened SNS reactivity to stress when the HPA axis was suppressed, and greater HPA reactivity after SNS suppression. This ability to react appropriately to the stressor, even with one system, did not lead to significant negative mood effects. In women, higher baseline activation (but dampened reactivity to stress) of SNS or HPA was observed when the other system was suppressed. This was coupled with worsened mood in response to stress when either stress system was compromised. Our results indicate that men and women may be differentially sensitive to fluctuations of their stress systems. This might be a potential link that underlies the sexual dimorphism in vulnerability for psychopathology.