Allostatic load represents the ‘wear and tear’ of chronic stress on the brain and body that may differ between men and women. A small but growing number of studies are assessing allostatic load in relation to mental health. The objective of this systematic review was to (1) assess sex differences in allostatic load and (2) identify allostatic load associations that are specific to women. We systematically searched for allostatic load studies that included psychosocial causes and/or psychiatric consequences. Our search focused on allostatic load studies that disaggregated by sex and that include women. Sixty-two studies were included in this systematic review. First, men appear to have higher allostatic load than women. Second, women show gender-specific variation for numerous factors such as age, race/ethnicity, adversities, social support, and health behaviors that influence associations between allostatic load and mental health. Recommendations are made to guide researchers advance sex and gender approaches.