Gonadal hormones modulate fear acquisition, but less is known about the influence of gonadal hormones on fear extinction. We assessed sex differences and the influence of gonadal hormone fluctuations and exogenous manipulations of estrogen and progesterone on acquisition, extinction learning and extinction recall in a 3 day auditory fear conditioning and extinction protocol. Experiments were conducted on males and naturally cycling female rats. Regarding female rats, significant differences in fear extinction were observed between subgroups of females, depending on their phase of the estrous cycle. Extinction that took place during the proestrus (high estrogen/progesterone) phase was more fully consolidated, as evidenced by low freezing during a recall test. This suggests that estrogen and/or progesterone facilitate extinction. In support of this, injection of both estrogen and progesterone prior to extinction learning in female rats during the metestrus phase of the cycle (low estrogen/progesterone) facilitated extinction consolidation, and blockade of estrogen and progesterone receptors during the proestrus phase impaired extinction consolidation. When comparing male to female rats without consideration of the estrous cycle phase, no significant sex differences were observed. When accounting for cycle phase in females, sex differences were observed only during extinction recall. Female rats that underwent extinction during the metestrus phase showed significantly higher freezing during the recall test relative to males. Collectively, these data suggest that gonadal hormones influence extinction behavior possibly by influencing the function of brain regions involved in the consolidation of fear extinction. Moreover, the elevated fear observed in female relative to male rats during extinction recall suggests that gonadal hormones may in part play a role in the higher prevalence of anxiety disorders in women.