There are well-established sex differences in the prevalence of certain mental disorders. Work in animal models has provided us with an emerging understanding of the role that epigenetic factors play in establishing sex differences in the brain during development. Similarly, work in animal models, and a more limited but growing literature based on human studies, has demonstrated that DNA methylation (DNAm) changes occur in response to environmental stress, with some of these occurring in a sex-specific manner. In this review, we explore whether DNAm plays a role in contributing to the observed sex differences in prevalence of mental disorders in which stress contributes significantly to their etiologies, specifically posttraumatic stress disorder (PTSD) and depression. We propose that investigating sex differences in DNAm among genes known to influence brain development may help to shed light on the sexually dimorphic risk for, or resilience to, developing PTSD and depression.