While avoidance behavior is often an adaptive strategy, exaggerated avoidance can be detrimental and result in the development of psychopathologies, such as anxiety disorders. A large animal literature shows that the acquisition and extinction of avoidance behavior in rodents depends on individual differences (e.g., sex, strain) and might be modulated by the presence of environmental cues. However, there is a dearth of such reports in human literature, mainly due to the lack of adequate experimental paradigms. In the current study, we employed a computer-based task, where participants control a spaceship and attempt to gain points by shooting an enemy spaceship that appears on the screen. Warning signals predict on-screen aversive events; the participants can learn a protective response to escape or avoid these events. This task has been recently used to reveal facilitated acquisition of avoidance behavior in individuals with anxiety vulnerability due to female sex or inhibited personality. Here, we extended the task to include an extinction phase, and tested the effect of signals that appeared during “safe” periods. Healthy young adults (n = 122) were randomly assigned to a testing condition with or without such signals. Results showed that the addition of safety signals during the acquisition phase impaired acquisition (in females) and facilitated extinction of the avoidance behavior. We also replicated our recent finding of an association between female sex and longer avoidance duration and further showed that females continued to demonstrate more avoidance behavior even on extinction trials when the aversive events no longer occurred. This study is the first to show sex differences on the acquisition and extinction of human avoidance behavior and to demonstrate the role of safety signals in such behavior, highlighting the potential relevance of safety signals for cognitive therapies that focus on extinction learning to treat anxiety symptoms.