Despite high risk for serious non-AIDS events (SNAEs) and accelerated age-related increases in inflammatory markers relative to HIV+ men, HIV+ women have been understudied, particularly in terms of stress impacts on immune parameters. The purpose of this study was to examine sex differences in glucocorticoid–immune stress response in mid-life HIV+ individuals, as poor glucocorticoid control of stress-induced inflammation may contribute to health risk in HIV+ women. Male and female participants completed a threat of shock laboratory stressor. Serum cortisol and cytokines [interleukin (IL)-6, IL-8, IL-10, IL-1β, C-reactive protein (CRP), tumor necrosis factor (TNF)-α, interferon (IFN)-γ] were assessed at six timepoints prior to and in response to the stressor. Participants included 8 HIV− controls (n = 5 female) and 9 HIV+ (n = 5 female) who were virally suppressed. Repeated measures mixed models revealed a significant sex by HIV status by time interaction for IL-10, IL-1β, TNF-α, and cortisol. IL-10 response, an anti-inflammatory cytokine, was larger in males than females, regardless of HIV status. TNF-α response was blunted in HIV+ individuals compared with HIV−, and specifically in HIV+ women, IL-1β and cortisol response were blunted. Individuals living with HIV may have impaired coordination between the immune system and hypothalamic pituitary adrenal (HPA) axis. HIV+ women in particular exhibited dysregulated IL-1β and cortisol response to acute stress. Future work should focus on relationships among proinflammatory cytokines, stress, and SNAEs in HIV, with attention to sex as a biological variable.