Cocaine is the most prevalent illegal stimulant drug in Europe among the adult population. Its abuse is characterized by a faster substance abuse disorder (SUD) development than other drugs, with high vulnerability to relapse. However, there does not exist an effective treatment for cocaine dependence. Sex differences have been reported in psychological disorders including SUD. For this reason, it is essential to identify risk factors that predict susceptibility or resilience to cocaine addiction for the development of effective prevention strategies considering sex differences. In the present study, the main objective was to determine more sensitive phenotypes to the conditioned reinforcing effects of cocaine in both sexes. Anxiety-like behavior and the locomotor response to novelty were evaluated in the elevated plus maze, and despair in the tail suspension test, as well as vulnerability traits linked with a high sensitivity to the reinforcing effects of a subthreshold dose of cocaine (1 mg/kg) in the conditioned place preference (CPP) paradigm in male and female mice. Our results indicated that only female mice with high anxiety, low locomotor response to novelty or low despair levels acquired CPP induced by cocaine, while male mice with low anxiety, high locomotor response to novelty or high despair levels presented a higher susceptibility to the rewarding effects of cocaine than others. These sex differences in the results reveal an opposite pattern in males and females on the relationship between anxiety- and depressive-like behaviors and cocaine vulnerability, demonstrating the need to include female mice in preclinical studies.