Although a number of studies have examined potential differences in temperature regulation between males and females during heat stress, conclusions have remained limited as to whether reported differences are due to confounding physical characteristics or to actual differences in the physiological variables of temperature regulation. Recent observations suggest that sex differences in temperature regulation, particularly in sudomotor activity, go beyond those associated with physical characteristics. Females have recently been shown to have a lower sudomotor activity, as well as a lower thermosensitivity of the response compared to males during exercise performed at a fixed rate of metabolic heat production. Furthermore, sex differences in local and whole-body sudomotor activity are only evident above a certain combination of environmental conditions and rate of metabolic heat production. In contrast, both the onset threshold and thermosensitivity of cutaneous vasodilatation are similar between males and females. In theory, differences in the thermosensitivity of sudomotor activity could be related to either a central (neural activity/integration) and/or peripheral (effector organ) modulation of temperature regulation. Based on recent findings, sex differences in sudomotor activity appear to be mediated peripherally, although a central modulation has yet to be conclusively ruled out. Here we present a brief yet comprehensive review of the current state of knowledge pertaining to sex differences in temperature regulation during exercise in the heat.