Women are more likely than men to suffer from psychiatric disorders with hyperarousal symptoms, including posttraumatic stress disorder (PTSD) and major depression. In contrast, women are less likely than men to be diagnosed with schizophrenia and attention deficit hyperactivity disorder (ADHD), which share attentional impairments as a feature. Stressful events exacerbate symptoms of the aforementioned disorders. Thus, researchers are examining whether sex differences in stress responses bias women and men towards different psychopathology. Here we review the preclinical literature suggesting that, compared to males, females are more vulnerable to stress-induced hyperarousal, while they are more resilient to stress-induced attention deficits. Specifically described are sex differences in receptors for the stress neuropeptide, corticotropin-releasing factor (CRF), that render the locus coeruleus arousal system of females more vulnerable to stress and less adaptable to CRF hypersecretion, a condition found in patients with PTSD and depression. Studies on the protective effects of ovarian hormones against CRF-induced deficits in sustained attention are also detailed. Importantly, we highlight how comparing males and females in preclinical studies can lead to the development of novel therapeutics to improve treatments for psychiatric disorders in both women and men.