Response to stress is dysregulated in psychosis (PSY). fMRI studies showed hyperactivity in hypothalamus (HYPO), hippocampus (HIPP), amygdala (AMYG), anterior cingulate (ACC), orbital and medial prefrontal (OFC; mPFC) cortices, with some studies reporting sex differences. We predicted abnormal steroid hormone levels in PSY would be associated with sex differences in hyperactivity in HYPO, AMYG, and HIPP, and hypoactivity in PFC and ACC, with more severe deficits in men. We studied 32 PSY cases (50.0% women) and 39 controls (43.6% women) using a novel visual stress challenge while collecting blood. PSY males showed BOLD hyperactivity across all hypothesized regions, including HYPO and ACC by FWE-correction. Females showed hyperactivity in HIPP and AMYG and hypoactivity in OFC and mPFC, the latter FWE-corrected. Interaction of group by sex was significant in mPFC (F = 7.00, p = 0.01), with PSY females exhibiting the lowest activity. Male hyperactivity in HYPO and ACC was significantly associated with hypercortisolemia post-stress challenge, and mPFC with low androgens. Steroid hormones and neural activity were dissociated in PSY women. Findings suggest disruptions in neural circuitry-hormone associations in response to stress are sex-dependent in psychosis, particularly in prefrontal cortex.