Stress is associated with the onset of several stress-related mental disorders that occur more frequently in women than in men, such as major depression or posttraumatic stress disorder (PTSD). The hypothalamic-pituitary-adrenal (HPA) axis is the major component of the neuroendocrine network responding to internal and external challenges. The proper functioning of the HPA axis is critical for the maintenance of mental and physical health, as dysregulations of the HPA axis have been linked to several mental and physical disorders. Numerous studies have observed distinct sex differences in the regulation of the HPA axis in response to stress, and it is supposed that these differences may partially explain the female predominance in stress-related mental disorders. Preclinical models have clearly shown that the HPA axis in females is activated more rapidly and produces a larger output of stress hormones than in males. However, studies with humans often produced inconsistent findings, which might be traced back to the variation of investigated stressors, the use of contraceptives in some of the studies, and different menstrual cycle stages of the female subjects. This article discusses rodent and human literature of sex differences in the function of the HPA axis.