Women have a higher incidence of stress related disorders including depression and generalized anxiety disorder, and epigenetic mechanisms likely contribute to this sex difference. Evidence from preclinical research suggests that epigenetic mechanisms are responsible for both sexual dimorphism of brain regions and sensitivity of the stress response. Epigenetic modifications such as DNA methylation and histone modifications can occur transgenerationally, developmentally, or in response to environmental stimuli such as stress exposure. This review will provide an overview of the various forms of epigenetic modifications observed in the central nervous system and will explain how these mechanisms contribute to a sexually dimorphic brain. It will also discuss the ways in which epigenetic alterations coincide with, and functionally contribute to, the behavioral response to stress across the lifespan. Ultimately, this review will focus on novel research utilizing animal models to investigate sex differences in epigenetic mechanisms that influence susceptibility to stress. Exploration of this relationship reveals epigenetic mechanisms with the potential to explain sexual dimorphism in the occurrence of stress related disorders.