Although it is known that men and women differ in their music preferences and emotional reactions to music, little is known about sex differences in physiological reactions to music. In our study, we therefore set out to examine the differential reactivity to two musical stimuli that elicit distinct psychological and physiological reaction patterns. Fifty-three healthy subjects (mean age: 26.13, SD: 3.97; 26 males, 27 females) were examined. Heart rate, electrodermal activity, skin temperature, salivary cortisol, salivary alpha-amylase, and psychological variables were assessed during the course of the whole study. Following baseline assessment, two musical stimuli, which were carefully selected and rated in a pre-study as relaxing and pleasant (renaissance music) and arousing and unpleasant (heavy metal), respectively, were introduced. They were presented on two different days in a randomized order. Whereas psychological variables did not differ between men and women, results of electrophysiological measures indicate significantly different reactivity patterns between men and women. Women displayed elevated response curves to the arousing and unpleasant stimulus, whereas men did not. However, no differences were found with regards to endocrine measures in saliva. Our results demonstrate sex differences in reactivity patterns to musical stimuli in psychophysiological measures. In our study, we were able to show that women tend to show hypersensitivity to aversive musical stimuli. This finding is in accordance with previous literature on sex differences in emotion research. Furthermore, our study indicates that the confounding effects of sex differences have to be considered when using musical stimuli for emotion induction.