The neurobiological literature implicates chronic stress induced decision-making deficits as a major contributor to depression and anxiety. Given that females are twice as likely to suffer from these disorders, we hypothesized the existence of sex difference in the effects of chronic stress on decision-making. Here employing a decision-making paradigm that relies on reinforcement learning of probabilistic predictive relationships, we show female volunteers with a high level of perceived stress in the past month are more likely to make suboptimal choices than males. Computational characterizations of this sex difference suggest that while under high stress, females and males differ in their weighting but not learning of the expected uncertainty in the predictive relationships. These findings provide a mechanistic account of the sex difference in decision-making under chronic stress and may have important implications for the epidemiology of sex difference in depression and anxiety.