Gulf War Illness (GWI) is a multi-symptom disorder affecting 1990-1991 Persian Gulf War veterans and is characterized by post-exertional malaise, neurological symptoms, immune deregulation, and exhaustion. Causation is not understood, and effective diagnostics and therapies have not yet been developed. In this work, we analyzed stress-related, sex-specific transcriptomic shifts in GWI subjects and healthy controls through RNA sequencing of peripheral blood mononuclear cells (PBMCs). Blood samples at baseline (T0), at maximal exertion (T1), and four hours post-exertion (T2) were analyzed. In female subjects with GWI, pathways associated with pro-inflammatory processes were found to be deregulated, and in male GWI subjects, pathways related to IL-12 signaling and lymphocytic activation were deregulated at T1 compared to T0. During recovery from stress, pathways corresponding to immune responses and microglial cell activation were altered in female GWI subjects, and apoptotic signaling changed in males with GWI. Documented sex-specific immune deregulation leads to finding better biomarkers. Targeting sex-specific transcriptomic markers of the disease could lead to new therapies for GWI.