Adolescence is as a period of development characterized by impulsive and risk-seeking behaviors. Risk behaviors (RB) involves exposure to dangerous or negative consequences to achieve goal-directed behaviors, such as reward-seeking. On the other hand, risk aversion/assessment behaviors allow the individual to gather information or avoid potentially threatening situations. Evidence has suggested that both behavioral processes, RB and risk assessment (RA), may have sex-differences. However, sex-specific behavioral patterns implicated in RB and RA are not fully understood. To address that, we investigated sex differences in risk-behavioral parameters in a decision-making task developed for rodents. In addition, we investigated the potential role of sex-dependent differences in gene expression of brain-derived neurotrophic factor (BDNF) exon IV in the medial prefrontal cortex (mPFC), which has been implicated to mediate PFC-related behavioral dysfunctions. Male and female C57BL/6J adolescent mice were evaluated in the elevated plus-maze (EPM) to assess anxiety-like behaviors and in the predator-odor risk taking (PORT) task. The PORT task is a decision-making paradigm in which a conflict between the motivation towards reward pursuit and the threat elicited by predatory olfactory cues (coyote urine) is explored. After behavioral testing, animals were euthanized and BDNF exon IV gene expression was measured by RT-qPCR. Comparative and correlational analyses for behavioral and molecular parameters were performed for both sexes. We observed that female mice spent more time exploring the middle chamber of the PORT apparatus in the aversive condition, which is an indicative of avoidance behavior. Female mice also had a higher latency to collect the reward than male mice and presented less time exploring the open arms of the EPM. BDNF exon IV gene expression was higher among females, and there was a positive correlation between the BDNF and PORT behavioral parameters. Our findings suggest sex-dependent effects in the PORT task. Females presented higher RA and avoidance behavior profile and expressed higher levels of BDNF exon IV in the mPFC. Moreover, higher BDNF expression was correlated with RA behaviors, which suggests that adolescent females tend to evaluate the risks more than adolescent males and that BDNF gene expression may be mediating decision-making processes.