More than two‐thirds of patients suffering from stress‐related disorders are women but over two‐thirds of suicide completers are men. These are just some examples of the many sex differences in the prevalence and manifestations of stress‐related disorders, such as major depressive disorder, post‐traumatic stress disorder, and anxiety disorders, which have been extensively documented in clinical research. Nonetheless, the molecular origins of this sex dimorphism are still quite obscure. In response to this lack of knowledge, the NIH recently advocated implementing sex as biological variable in the design of preclinical studies across disciplines. As a result, a newly emerging field within psychiatry is trying to elucidate the molecular causes underlying the clinically described sex dimorphism. Several studies in rodents and humans have already identified many stress‐related genes that are regulated by acute and chronic stress in a sex‐specific fashion. Furthermore, current transcriptomic studies have shown that pathways and networks in male and female individuals are not equally affected by stress exposure. In this review, we give an overview of transcriptional studies designed to understand how sex influences stress‐specific transcriptomic changes in rodent models, as well as human psychiatric patients, highlighting the use of different methodological techniques. Understanding which mechanisms are more affected in males, and which in females, may lead to the identification of sex‐specific mechanisms, their selective contribution to stress susceptibility, and their role in the development of stress‐related psychiatric disorders.