In this study, we examined the relationship between perceived stress and brain functioning in women and men. Using functional magnetic resonance imaging (fMRI), brain connectivity of 22 women and 24 men were imaged when they completed two tasks in a 3 Tesla MRI scanner. One task involved holding visuospatial information in short-term memory and the other task involved ignoring irrelevant information. We found that women who felt more stressed over the last month were faster at performing the memory task, but men did not show this relationship. Stress was also related to co-activation of brain regions, referred to as functional connectivity, in both women and men: higher stress was associated with increased connectivity between some brain regions but decreased connectivity between other brain regions. Our findings support past findings that women tend to use emotionally focused coping strategies (that is trying to regulate our mood) when stressed, but challenges previous reports that men tend to seek reward (such as alcohol) when stressed. Overall, the study provides evidence that perceived stress has subtle effects on our thinking and brain functions.