Stress is generally classified as any mental or emotional strain resulting from difficult circumstances, and can manifest in the form of depression, anxiety, post-traumatic stress disorder (PTSD), or other neurocognitive disorders. Neurocognitive disorders such as depression, anxiety, and PTSD are large contributors to disability worldwide, and continue to affect individuals and communities. Although these disorders affect men and women, women are disproportionately represented among those diagnosed with affective disorders, a result of both societal gender roles and physical differences. Furthermore, the incidence of these neurocognitive disorders is augmented among People Living with HIV (PLWH); the physical ramifications of stress increase the likelihood of HIV acquisition, pathogenesis, and treatment, as both stress and HIV infection are characterized by chronic inflammation, which creates a more opportunistic environment for HIV. Although the stress response is facilitated by the autonomic nervous system (ANS) and the hypothalamic pituitary adrenal (HPA) axis, when the response involves a psychological component, additional brain regions are engaged. The impact of chronic stress exposure and the origin of individual variation in stress responses and resilience are at least in part attributable to regions outside the primary stress circuity, including the amygdala, prefrontal cortex, and hippocampus. This review aims to elucidate the relationship between stress and HIV, how these interact with sex, and to understand the physical ramifications of these interactions.