Researchers have reported associations between fetal sex and heart rate (FHR) and heart rate variability (FHRV) but rarely in the context of fetal behavioral sleep state. We examined differences in measures of fetal autonomic function by sex and sleep state. Fetal abdominal ECG monitoring technology was used to measure FHR and two measures of FHRV—standard deviation of FHR (SD) and beat‐to‐beat variability (RMSSD). FHR and movement patterns were also recorded with standard Doppler ultrasound monitor technology employed to code sleep states. Data were collected from 82 healthy fetuses ranging from 36 to 39 weeks gestation. A one‐way MANOVA showed that FHR was significantly lower and SD was significantly higher for males than females. Independent samples t tests found that these sex differences were only in the active sleep state. There were no significant differences in RMSSD by sex. Repeated measures MANOVA for a subset that exhibited more than one state (N = 22) showed that SD was significantly different by state. RMSSD showed a marginally significant sleep state difference. In conclusion, fetal sex differences in HR and HRV may indicate more mature autonomic functioning in near‐term males than females and fetal sleep state can influence abdominal fECG derived measures of FHR and FHRV.