Among rodents, females are generally considered to be highly responsive in terms of emotionality under stressful conditions, and have higher corticosterone levels and activity. In this study, we examined sex differences in mice by evaluating anxiety behaviors and corticosterone responses to mild stressors. In our first experiment, we analyzed the behavioral and corticosterone responses to the elevated plus-maze test and open-field test in male and female mice, and compared sex differences. Principal component analysis (PCA) was used to investigate the correlation of these responses between males and females. The corticosterone level was higher in females under both basal and stressed conditions. In the behavioral response, higher locomotor activity was seen in females in the elevated plus-maze test. PCA showed little association among anxiety behavior, locomotor activity, and corticosterone secretion. In our second experiment, we examined the activational effects of sex steroids on the corticosterone response to the elevated plus-maze test by gonadectomizing male and female mice and using testosterone or estrogen capsules as hormonal replacements. Sex differences at the basal corticosterone level were not altered by the hormonal milieu in adults, however the higher corticosterone level of females in response to stress was diminished by ovariectomy, although replacement with neither testosterone nor estrogen had any effect. These results suggest that the sex difference in novelty exposure observed in the form of a greater hypothalamic-pituitary-adrenal (HPA) axis response in female ICR mice is controlled by ovary-derived factors in adults.