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Substantial sex differences have been reported in the physiological response to stress at multiple levels, including the release of the stress hormone, cortisol. Here, we explore the genomic variants in 93 females and 196 males regulating the initial transcriptional response to cortisol via glucocorticoid receptor (GR) activation. Gene expression levels in peripheral blood were obtained before and after GR-stimulation with the selective GR agonist dexamethasone to identify differential expression following GR-activation. Sex stratified analyses revealed that while the transcripts responsive to GR-stimulation were mostly overlapping between males and females, the quantitative trait loci (eQTLs) regulation differential transcription to GR-stimulation was distinct. Sex-stratified eQTL SNPs (eSNPs) were located in different functional genomic elements and sex-stratified transcripts were enriched within postmortem brain transcriptional profiles associated with Major Depressive Disorder (MDD) specifically in males and females in the cingulate cortex. Female eSNPs were enriched among SNPs linked to MDD in genome-wide association studies. Finally, transcriptional sensitive genetic profile scores derived from sex-stratified eSNPS regulating differential transcription to GR-stimulation were predictive of depression status and depressive symptoms in a sex-concordant manner in a child and adolescent cohort (n = 584). These results suggest the potential of eQTLs regulating differential transcription to GR-stimulation as biomarkers of sex-specific biological risk for stress-related psychiatric disorders.