The incidence and prevalence of depression is higher in women than in men, but the cause of this sex discrepancy remains unknown. Brain-derived neurotrophic factor (BDNF) is a key protein for maintaining neuronal integrity. The purpose of this study was to investigate the female preponderance in behavioral responsivity to restraint stress focusing on the stress reactivity of BDNF in the hippocampus. Male and female ICR mice were exposed to a 3-h session of restraint stress. Plasma corticosterone was measured by high-performance liquid chromatography. BDNF mRNA expression in the whole hippocampus was measured by quantitative real-time reverse transcription-polymerase chain reaction. Wheel-running activity was monitored during the dark period. In response to restraint stress, the increase in levels of serum corticosterone was higher in female than in male mice. Restraint stress resulted in decreased voluntary wheel-running behavior that was greater in female than male animals. In addition to these sex differences in stress reactivity, we found a significant sex difference in BDNF levels in the hippocampus of restraint-stressed mice; total BDNF levels significantly decreased in female mice, but not in male mice in response to the stress. Furthermore, BDNF exon I and IV mRNA expression also showed the same tendency. These data indicate that the reduction in levels of voluntary wheel-running activity in response to stress can be significantly influenced by sex. Moreover, our findings suggest a link between the sex differences in this behavioral response to stress and differential stress reactivity in the production of BDNF in the hippocampus.