Although cognitive regulation of emotion has been extensively examined, there is a lack of studies assessing cognitive regulation in stressful achievement situations. This study used functional magnetic resonance imaging in 23 females and 20 males to investigate cognitive downregulation of negative, stressful sensations during a frequently used psychosocial stress task. Additionally, subjective responses, cognitive regulation strategies, salivary cortisol, and skin conductance response were assessed. Subjective response supported the experimental manipulation by showing higher anger and negative affect ratings after stress regulation than after the mere exposure to stress. On a neural level, right middle frontal gyrus (MFG) and right superior temporal gyrus (STG) were more strongly activated during regulation than nonregulation, whereas the hippocampus was less activated during regulation. Sex differences were evident: after regulation females expressed higher subjective stress ratings than males, and these ratings were associated with right hippocampal activation. In the nonregulation block, females showed greater activation of the left amygdala and the right STG during stress than males while males recruited the putamen more robustly in this condition. Thus, cognitive regulation of stressful achievement situations seems to induce additional stress, to recruit regions implicated in attention integration and working memory and to deactivate memory retrieval. Stress itself is associated with greater activation of limbic as well as attention areas in females than males. Additionally, activation of the memory system during cognitive regulation of stress is associated with greater perceived stress in females. Sex differences in cognitive regulation strategies merit further investigation that can guide sex sensitive interventions for stress-associated disorders.