Women often report more anxiety than men, but there are divergent results regarding the putative correlation between physiological variables, such as cortisol, blood pressure and heart rate and the experienced emotional states. The aim of the present study was to evaluate sex differences in anxiety, and the relation to serum cortisol, blood pressure and heart rate. We used data from two pooled studies with participants from the same population (N = 405) facing a real-life stressor, bronchoscopy, as part of examination for lung cancer. At admission, blood pressure and heart rate were recorded, and a blood sample was taken for analysis of serum cortisol. Participants then completed Spielberger’s State Trait Anxiety Inventory (STAI). Patients had elevated anxiety measured with STAI state compared to relevant age and sex stratified norm scores. Women had significantly higher STAI state score than men (M = 44.9, SD = 13.2 vs M = 36.2, SD = 10.7; t(403) = 7.25, p < 0.001). Mean serum cortisol, systolic blood pressure and heart rate showed no significant sex difference. There was a weak but significant correlation between state anxiety and heart rate and cortisol but none between blood pressure and anxiety. This study adds an important confirmation of sex differences in anxiety in a real-life setting, where women report significantly more anxiety than men do. However, the physiological markers only show a weak link with experienced anxiety, and exhibit no sex differences.