How well adolescents can self‐regulate in the face of stressors has considerable implications for long‐term well‐being and risk of psychopathology. This study investigated sex differences in adolescents’ cardiac reactivity and recovery during a stressful task. Measures of cardiac variability (linear) and complexity (nonlinear) were obtained from N = 92 adolescents, 41 males (M age = 13.28, SD = 0.69; BMI = 21.9) and 51 females (M age = 13.36, SD = 0.67; BMI = 21.5). The adolescents underwent the Trier Social Stress Test, consisting of five conditions: baseline, anticipation, social exposure, math task, and recovery. Repeated measures ANOVAs revealed that female in comparison to male adolescents showed lower cardiac complexity revealed by higher short‐term scaling exponent at baseline (p = .006) and math (p = .013) and lower entropy at exposure (p = .013) and math (p = .012). A marginal between‐groups effect was found for Higuchi's fractal dimension, F(1, 90) = 3.67, p = .059, ηp2 = .041, with females showing lower fractal dimension than males in math (p = .037). Linear measures did not reveal sex‐related differences. Results suggest that adolescent females show lower cardiac complexity during stress. These findings support the importance of nonlinear cardiac measures for understanding cardiac reactivity during stress. Further research is needed to test the hypothesis that cardiac complexity is useful to detect an increased risk of emotional disorders, disorders that are more prevalent in women.