The neuropeptide oxytocin is traditionally known for its roles in parturition, lactation, and social behavior. Other data, however, show that oxytocin can modulate behaviors outside of these contexts, including drug self-administration and some aspects of cost-benefit decision making. Here we used a pharmacological approach to investigate the contributions of oxytocin signaling to decision making under risk of explicit punishment. Female and male Long-Evans rats were trained on a risky decision-making task in which they chose between a small, "safe" food reward and a large, "risky" food reward that was accompanied by varying probabilities of mild footshock. Once stable choice behavior emerged, rats were tested in the task following acute intraperitoneal injections of oxytocin or the oxytocin receptor antagonist L-368,899. Neither drug affected task performance in males. In females, however, both oxytocin and L-368,899 caused a dose-dependent reduction in preference for large risky reward. Control experiments showed that these effects could not be accounted for by alterations in food motivation or shock sensitivity. Together, these results reveal a sex-dependent effect of oxytocin signaling on risky decision making in rats.