To explain women's higher rates of psychological distress, researchers often argue that sex roles differentially expose the sexes to variables associated with distress or render women and men unequally vulnerable to role-related stress. To test these claims, we use National Center for Health Statistics data on physical symptoms of distress, collected during physical examinations for 6,672 adults. Using multiple regression, we assess the independent effects of marital status, employment, occupation, income, and age. The sex-specific analyses reveal several significant race interactions but very few significant sex differences. We cannot reject the null hypothesis that men and women are equally affected by paid employment. Rather, our results suggest that the sexes are differently exposed to sex-role related stress through different risks of disrupted marriages, unemployment and low income.