The current study assessed sex differences in thermoregulatory and physiological adaptation to short-term (STHA) and long-term heat acclimation (LTHA). Sixteen (eight males; eight females) participants performed three running heat tolerance tests (RHTT), preceding HA (RHTT1), following 5 days HA (RHTT2) and 10 days HA (RHTT3). The RHTT involved 30-min running (9 km/h, 2% gradient) in 40 °C, 40% relative humidity. Following STHA, resting rectal temperature (Trrest) (males: −0.24 ± 0.16 °C, P ≤ 0.001; females: −0.02 ± 0.08 °C, P = 0.597), peak rectal temperature (Trpeak) (males: −0.39 ± 0.36 °C, P ≤ 0.001; females −0.07 ± 0.18 °C, P = 0.504), and peak heart rate (males: −14 ± 12 beats/min, P ≤ 0.001; females: −5 ± 3 beats/min, P = 0.164) reduced in males, but not females. Following STHA, sweat rate relative to body surface area (SRBSA) increased (428 ± 269 g/h/m2, P = 0.029) in females, but not males (−11 ± 286 g/h/m2, P = 0.029). Following LTHA, Trrest (males: −0.04 ± 0.15 °C, P = 0.459; females: −0.22 ± 0.12 °C, P ≤ 0.01) and Trpeak (males: −0.05 ± 0.26 °C, P = 0.590; females: −0.41 ± 0.24 °C, P ≤ 0.01) reduced in females, but not males. Following LTHA, SRBSA increased in males (308 ± 346 g/h/m2, P = 0.029), but not females (44 ± 373 g/h/m2, P = 0.733). Males and females responded to STHA; however, females required LTHA to establish thermoregulatory and cardiovascular stability. HA protocols should be designed to target sex differences in thermoregulation for optimal adaptation.