Mental health problems related to chronic stress in workers appear to be sex-specific. Psychosocial factors related to work–life balance partly explain these sex differences. In addition, physiological markers of stress can provide critical information on the mechanisms explaining how chronic stress gets “under the skull” to increase vulnerability to mental health disorders in working men and women. Stress hormones access the brain and modulate attentional and memory process in favor of threatening information. In the present study, we tested whether male and female workers present a memory bias towards work-stress related information, and whether this bias is associated with concentrations of stress hormones in reactivity to a laboratory stressor (reactive levels) and samples taken in participants’ workday (diurnal levels). In total, 201 participants (144 women) aged between 18 and 72 years underwent immediate and delayed recall tasks with a 24-word list, split as a function of valence (work-stress, positive, neutral). Participants were exposed to a psychosocial stressor in between recalls. Reactivity to stress was measured with saliva samples before and after the stressor. Diurnal cortisol was also measured with five saliva samples a day, during 2 workdays. Our exploratory results showed that men presented greater cortisol reactivity to stress than women, while women recalled more positive and neutral words than men. No sex difference was detected on the recall of work-stress words, before or after exposure to stress. These results do not support the hypothesis of a sex-specific cognitive bias as an explanatory factor for sex differences in stress-related mental health disorders in healthy male and female workers. However, it is possible that such a work-stress bias is present in individuals who have developed a mental-health disorder related to workplace stress or who have had one in the recent past. Consequently, future studies could use our stress memory bias task to assess this and other hypotheses in diverse working populations.