Increased prevalence, severity, and burden of anxiety, trauma-related and stress-related disorders in women compared with men has been well documented. Evidence from a variety of fields has emerged suggesting that sex hormones, particularly oestradiol and progesterone, play a significant part in generation of these sex differences. In this Series paper, we aim to integrate the literature reporting on the effects of sex hormones on biological, behavioural, and cognitive pathways, to propose two broad mechanisms by which oestradiol and progesterone influence sex differences in anxiety disorders: augmentation of vulnerability factors associated with anxiety disorder development; and facilitation of the maintenance of anxious symptoms post-development. The implications for future research, along with novel approaches to psychological and pharmacological treatment of anxiety disorders, are also considered.