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Major depressive disorder (MDD) is a leading cause of disease burden worldwide. While the incidence, symptoms and treatment of MDD all point toward major sex differences, the molecular mechanisms underlying this sexual dimorphism remain largely unknown. Here, combining differential expression and gene coexpression network analyses, we provide a comprehensive characterization of male and female transcriptional profiles associated with MDD across six brain regions. We overlap our human profiles with those from a mouse model, chronic variable stress, and capitalize on converging pathways to define molecular and physiological mechanisms underlying the expression of stress susceptibility in males and females. Our results show a major rearrangement of transcriptional patterns in MDD, with limited overlap between males and females, an effect seen in both depressed humans and stressed mice. We identify key regulators of sex-specific gene networks underlying MDD and confirm their sex-specific impact as mediators of stress susceptibility. For example, downregulation of the female-specific hub gene Dusp6 in mouse prefrontal cortex mimicked stress susceptibility in females, but not males, by increasing ERK signaling and pyramidal neuron excitability. Such Dusp6 downregulation also recapitulated the transcriptional remodeling that occurs in prefrontal cortex of depressed females. Together our findings reveal marked sexual dimorphism at the transcriptional level in MDD and highlight the importance of studying sex-specific treatments for this disorder.