Women have increased vulnerability to PTSD and anxiety disorders compared to men. Understanding the neurobiological underpinnings of these disorders is critical for identifying risk factors and developing appropriate sex-specific interventions. Despite the clear clinical relevance of an examination of sex differences in fear responses, the vast majority of pre-clinical research on fear learning and memory formation has exclusively used male animals. This review highlights sex differences in context and cued fear conditioning, fear extinction and fear generalization with a focus on the neural circuits underlying these behaviors in rodents. There are mixed reports of behavioral sex differences in context and cued fear conditioning paradigms, which can depend upon the behavioral indices of fear. However, there is greater evidence of differential activation of the hippocampus, amygdalar nuclei and the prefrontal cortical regions in male and female rodents during context and cued fear conditioning. The bed nucleus of the stria terminalis (BNST), a sexually dimorphic structure, is of particular interest as it differentially contributes to fear responses in males and females. In addition, while the influence of the estrous cycle on different phases of fear conditioning is delineated, the clearest modulatory effect of estrogen is on fear extinction processes. Examining the variability in neural responses and behavior in both sexes should increase our understanding of how that variability contributes to the neurobiology of affective disorders. This article is part of the Special Issue on 'Fear, anxiety and PTSD'.