Physiological strain during exercise is increased by mild dehydration (~1%–3% body mass loss). This response may be sex-dependent, but there are no direct comparative data in this regard. This review aimed to develop a framework for future research by exploring the potential impact of sex on thermoregulatory and cardiac strain associated with exercise-induced dehydration. Sex-based comparisons were achieved by comparing trends from studies that implemented similar experimental protocols but recruited males and females separately. This revealed a higher core temperature (T_c) in response to exercise-induced dehydration in both sexes; however, it seemingly occurred at a lower percent body mass loss in females. Although less clear, similar trends existed for cardiac strain. The average female may have a lower body water volume per body mass compared with males, and therefore the same percent body mass loss between the sexes may represent a larger portion of total body water in females potentially posing a greater physiological strain. In addition, the rate at which T_c increases at exercise onset might be faster in females and induce a greater thermoregulatory challenge earlier into exercise. The T_c response at exercise onset is associated with lower sweating rates in females, which is commonly attributed to sex differences in metabolic heat production. However, a reduced sweat gland sensitivity to stimuli, lower fluid output per sweat gland, and sex hormones promoting fluid retention in females may also contribute. In conclusion, the limited evidence suggests that sex-based differences exist in thermoregulatory and cardiac strain associated with exercise-induced dehydration, and this warrants future investigations.