In a progesterone withdrawal (PWD) model of premenstrual anxiety, we have previously demonstrated that increased hippocampal expression of the α4 subunit of the GABAA receptor (GABAA-R) is closely associated with higher anxiety levels in the elevated plus maze. However, several studies indicate that sex differences in regulation of the GABAA-R in specific brain regions may be an important factor in the observed gender differences in mood disorders. Thus, we investigated possible sex differences in GABAA-R subunit expression and anxiety during PWD. To this end, we utilized the acoustic startle response (ASR) to assess anxiety levels in male and female rats undergoing PWD as the ASR is also applicable to the assessment of human anxiety responses. We also investigated GABAA-R α4 subunit expression in the amygdala, as the amygdala directly regulates the primary startle circuit. Female rats exhibited a greater ASR during PWD than controls, indicating higher levels of anxiety and arousal. In contrast, male rats undergoing PWD did not demonstrate an increased ASR. The sex differences in the ASR were paralleled by sex differences in the expression of the GABAA-R α4 subunit in the amygdala such that α4 subunit expression was up-regulated in females during PWD whereas α4 levels in males undergoing PWD were not altered relative to controls. These findings might have implications regarding gender differences in human mood disorders and the aetiology of premenstrual anxiety.