Stress and fear are two fields of research that have evolved simultaneously. It was not until the eighties that these domains converged in order to better characterize the impact of stress on fear memory formation. Here, we reviewed the effects of stress occurring before fear acquisition on the main phases of fear conditioning protocols (acquisition training, extinction training, extinction retention test), with a specific focus on sex and sex hormones. We also paid close attention to methodological aspects in order to better understand and characterize discrepant findings across studies. In men, stress appears to potentiate fear acquisition at a physiological level but induces lower activations of fear-related brain regions. In women, results are inconsistent. Although some studies have shown that stress lowers physiological fear responses and heightens brain activations in women during fear acquisition, many studies report no significant effects. Irrespective of sex, pre-acquisition stress seems to induce fear extinction learning resistance. Overall, few studies have taken into account sex hormones, despite their impact on both the fear and stress brain networks. As methodological variability makes it complex to draw strong conclusions, several methodological aspects are discussed with the aim of orienting future research.