Women are twice as likely as men to be diagnosed with major depressive disorder (MDD). Recent studies report distinct molecular changes in depressed men and women across mesocorticolimbic brain regions. However, it is unclear which sex-related factors drive distinct MDD-associated pathology. The goal of this study was to use mouse experimental systems to investigate sex-specific mechanisms underlying the distinct molecular profiles of MDD in men and women. We used unpredictable chronic mild stress to induce an elevated anxiety-/depressive-like state and “four core genotypes” (FCG) mice to probe for sex-specific mechanisms. As predicted, based on previous implications in mood, stress impacted the expression of several dopamine-, GABA-, and glutamate-related genes. Some of these effects, specifically in the prefrontal cortex, were genetic sex-specific, with effects in XX mice but not in XY mice. Stress also impacted gene expression differently across the mesocorticolimbic circuit, with increased expression of mood-related genes in the prefrontal cortex and nucleus accumbens, but decreased expression in basolateral amygdala. Our results suggest that females are sensitive to the effects of chronic stress, partly due to their genetic sex, independent of gonadal hormones. Furthermore, these results point to the prefrontal cortex as the node in the mesocorticolimbic circuitry with the strongest female-specific effects.