The prefrontal cortex (PFC), hippocampus, and amygdala play an important role in emotional health. However, adverse life events (e.g., violence exposure) affect the function of these brain regions, which may lead to disorders such as depression and anxiety. Depression and anxiety disproportionately affect women compared to men, and this disparity may reflect sex differences in the neural processes that underlie emotion expression and regulation. The present study investigated sex differences in the relationship between violence exposure and the neural processes that underlie emotion regulation. In the present study, 200 participants completed a Pavlovian fear conditioning procedure in which cued and non-cued threats (i.e., unconditioned stimuli) were presented during functional magnetic resonance imaging. Violence exposure was previously assessed at four separate time points when participants were 11–19 years of age. Significant threat type (cued versus non-cued) × sex and sex × violence exposure interactions were observed. Specifically, women and men differed in amygdala and parahippocampal gyrus reactivity to cued versus non-cued threat. Further, dorsolateral PFC (dlPFC) and inferior parietal lobule (IPL) reactivity to threat varied positively with violence exposure among women, but not men. Similarly, threat-elicited skin conductance responses varied positively with violence exposure among women. Finally, women reported greater depression and anxiety symptoms than men. These findings suggest that sex differences in threat-related brain and psychophysiological activity may have implications for mental health.