Anxiety and depressive disorders are prevalent mental health conditions that significantly burden individuals and society. Notably, these disorders exhibit substantial sex differences, with women showing a markedly higher prevalence and more severe symptoms compared to men. However, the neural mechanisms underlying these sex differences remain poorly understood. This review summarizes recent findings from human and animal studies that illuminate the sex-specific neural underpinnings of anxiety and depressive disorders. Neuroimaging studies in human populations have revealed sex differences in the activation and functional connectivity of brain regions implicated in emotion processing and regulation, such as the amygdala, prefrontal cortex, and insular cortex. Women exhibit heightened amygdala reactivity to negative emotional stimuli and greater activation of the anterior cingulate cortex in anxiety and depressive disorders. In contrast, men show stronger amygdala-prefrontal connectivity and activation of the left inferior frontal gyrus and anterior insula in response to emotional information. Sex differences in neurotransmitter systems, particularly serotonin and dopamine, have also been observed in the frontal and cingulate cortices. Clinical pharmacological research suggests that antidepressants targeting the serotonin system may contribute to sex differences in treatment efficacy. Moreover, genetic and epigenetic analyses have identified sexually dimorphic risk loci and genes involved in processes such as DNA methylation and long non-coding RNA modulation, which may contribute to the sex differences in these disorders. Studies using animal models have provided valuable insights into the molecular and cellular mechanisms underlying sex differences in anxiety and depressive disorders. Traditional models, such as learned helplessness, early life stress, and chronic social defeat stress, have been largely limited to male animals. However, recent efforts have focused on developing and optimizing these paradigms for female animals. Modified early life stress protocols and chronic social defeat stress models have been successfully employed to induce anxiety- and depression-like behaviors in female rodents. These advancements have paved the way for investigating sex-specific mechanisms of anxiety and depression at the molecular, cellular, and neural circuit levels. Sex hormones and neuropeptides play a crucial role in the observed sex differences in anxiety and depressive disorders. Sex hormones are essential for establishing and maintaining sexually dimorphic neural circuits. Estrogens, progesterone, and androgens regulate neurotransmitter release, and their receptors are widely distributed among brain regions implicated in anxiety and depressive disorders. Fluctuations in sex hormones, particularly during specific phases of the menstrual cycle, pregnancy, and menopause, have been associated with an increased risk of developing anxiety and depressive disorders. Neuropeptides, including corticotropin-releasing factor, oxytocin, neuropeptide Y, and vasopressin, exhibit sex differences and are involved in stress regulation, contributing to the sexual dimorphism in anxiety and depressive disorders. In conclusion, current studies have highlighted significant sex disparities in anxiety and depressive disorders. However, our understanding of the neural mechanisms underlying these sex differences remains limited. Few studies include females, and clinical research still lacks comprehensive evaluation of treatments for women. Although many genetic loci and genes associated with sex differences in anxiety and depressive disorders have been identified, their functions are poorly understood. Future research integrating molecular, cellular, circuit, and behavioral levels will deepen our understanding of the mechanisms underlying these sex differences, facilitating the development of sex-specific diagnostic and therapeutic strategies.