In recent years, special attention is being paid to sex differences in susceptibility to disease. In this regard, there is evidence that male rats present higher levels of both cued and contextual fear conditioning than females. However, little is known about the concomitant hypothalamic-pituitary-adrenal (HPA) axis response to those situations which is critical in emotional memories. Here, we studied the behavioural and HPA responses of male and female Wistar rats to context fear conditioning using electric footshock as the aversive stimulus. Fear-conditioned rats showed a much greater ACTH and corticosterone response than those merely exposed to the fear conditioning chamber without receiving shocks. Moreover, males presented higher levels of freezing whereas HPA axis response was greater in females. Accordingly, during the fear extinction tests, female rats consistently showed less freezing and higher extinction rate, but greater HPA activation than males. Exposure to an open-field resulted in lower activity/exploration in fear-conditioned males, but not females, suggesting greater conditioned cognitive generalization in males than females. It can be concluded that important sex differences in fear conditioning are observed in both freezing and HPA activation, but the two set of variables are affected in the opposite direction: enhanced behavioural impact in males, but enhanced HPA responsiveness in females. Thus, the role of sex differences on fear-related stimuli may depend on the variables chosen to evaluate it, the greater responsiveness of the HPA axis in females perhaps being an important factor to be further explored.