With increasing participation of females in endurance athletics and active military service, it is important to determine if there are inherent sex-dependent susceptibilities to exertional heat injury or heat stroke. In this study we compared responses of male and female adult mice to exertional heat stroke (EHS). All mice were instrumented for telemetry core temperature measurements and were exercise-trained for 3 wk before EHS. During EHS, environmental temperature was 37.5°C (35% RH) while the mice ran on a forced running wheel, using incremental increases in speed. The symptom-limited endpoint was loss of consciousness, occurring at ~42.2°C core temperature. Females ran greater distances (623 vs. 346 m, P < 0.0001), reached faster running speeds (7.2 vs. 5.1 m/min, P < 0.0001), exercised for longer times (177 vs. 124 min, P < 0.0001), and were exposed to greater internal heat loads (240 vs.160°C·min; P < 0.0001). Minimum Tc during hypothermic recovery was ~32.0°C in both sexes. Females lost 9.2% body weight vs. 7.5% in males ( P < 0.001). Females demonstrated higher circulating corticosterone (286 vs 183 ng/ml, P = 0.001, at 3 h), but most plasma cytokines were not different. A component of performance in females could be attributed to greater body surface area/mass and greater external power performance. However, there were significant and independent effects of sex alone and a crossed effect of "sex × power" on performance. These results demonstrate that female mice have greater resistance to EHS during exercise in hyperthermia and that these effects cannot be attributed solely to body size. NEW & NOTEWORTHY Female mice are surprisingly more resistant to exertional heat stroke than male mice. They run faster and longer and can withstand greater internal heat loads. These changes cannot be fully accounted for by increased body surface/mass ratio in females or on differences in aerobic performance. Although the stress-immune response in males and females was similar, females exhibited markedly higher plasma corticosteroid levels, which were sustained over 14 days of recovery.