Epidemiological sex differences in anxiety disorders and major depression are well characterized. Yet the circuits and mechanisms that contribute to these differences are understudied, because preclinical studies have historically excluded female rodents. This oversight is beginning to be addressed, and recent studies that include male and female rodents are identifying sex differences in neurobiological processes that underlie features of these disorders, including conflict anxiety, fear processing, arousal, social avoidance, learned helplessness and anhedonia. These findings allow us to conceptualize various types of sex differences in the brain, which in turn have broader implications for considering sex as a biological variable. Importantly, comparing the sexes could aid in the discovery of novel therapeutics.