Women are more likely than men to be diagnosed with depression and anxiety-related disorders, and it has been hypothesized that this difference is related to sex differences in stress reactivity. Women typically report higher levels of negative affect than men in response to psychosocial stressors, but the evidence for sex differences in physiological reactivity to stressful situations is not consistent. The present study sought to expand this work by evaluating sex differences in reactivity to a social stress challenge across neuroendocrine, autonomic and affective response domains. Participants (32 women, 30 men) completed a standardized psychosocial stress challenge (i.e., the Trier Social Stress Test (TSST)), during which several physiological (e.g., cortisol reactivity, heart rate) and psychological (e.g., depression, irritability, anger, fear) measures were assessed. The findings demonstrated that cortisol reactivity and the magnitude of autonomic responding failed to reliably discriminate between women and men. However, women reported more fear, irritability, confusion and less happiness immediately following the TSST compared to men. The broader implications of these results and how they relate to sex differences in the etiology and clinical presentation of anxiety and mood disorders are discussed.