The prevalence of stress disorders differs between men and women. An understanding of how men and women vary in acute stress responses may help to understand these sex differences. We compared responses to the TSST and a control task in healthy men (N=28) and women tested in two phases (Follicular N=29, Luteal N=23) of the menstrual cycle. Men exhibited greater cortisol responses to stress than women in either phase. Luteal women exhibited the greatest subjective and allopregnanolone responses to stress, whereas follicular women exhibited blunted noradrenaline responses. Partial correlations controlling for group differences revealed that individuals who were most sensitive to the subjective effects of stress exhibited the largest salivary cortisol, noradrenaline, and allopregnanolone responses and the smallest progesterone responses to stress. We discuss our findings in the context of sex differences in the prevalence of stress-linked disorders.