Despite the growing attention devoted to women's experiences of sexism within organizational contexts, there is comparatively less work elucidating the affective and behavioral self‐regulatory processes that unfold following sexist incidents that happen before organizational entry—that is, during the job search process. In this study, we integrate ambivalent sexism theory with self‐regulation theory to explore the differential impact of experiences of hostile (i.e., overt, derogatory, expressions of female inferiority) and benevolent sexism (i.e., subtle, seemingly positive, expressions of female incompetence) during the job search. Further, drawing from research on discrimination, we also consider whether reactions to sexism are shaped by the extent to which women identify with their gender. We tested our conceptual model through a weekly study of 103 female new labor market entrants. Findings indicated that while weekly experiences of hostile sexism related to heightened anger, experiences of benevolent sexism elicited anxiety; these effects were exacerbated for highly gender‐identified female job seekers. Anxiety—but not anger—prompted next‐week job search effort and intensity, which yielded distinct effects on search success and well‐being. Notably, exploratory analyses demonstrated that these affective responses to weekly experiences of hostile and benevolent sexism did not emerge for male job seekers, suggesting that such experiences of sexism can be more impactful for women on the job market. Thus, our work highlights the critical self‐regulatory processes that unfold weekly following female job seekers’ exposure to sexism.