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Males and females often differ in use of antipredator behaviors, particularly when antipredator behavior comes at the cost of missed mating opportunities or territory defense. When using thermally suboptimal refugia, ectotherms are especially vulnerable to these costs, as their performance is linked to body temperature. To flee from predators, semi-aquatic Anolis lizards dive underwater for long periods and rebreathe from a bubble of air. We hypothesized that using aquatic refugia would result in thermal loss, that dive duration would be influenced by sex, and that oxygen consumption when diving would help explain sex differences. We tested these hypotheses by measuring dive length and body temperatures in A. aquaticus, and by recording oxygen consumption and final oxygen partial pressure during controlled dives in several semi-aquatic Anolis species. Not only was there a significant thermal cost to diving, but A. aquaticus males and females appeared to tolerate different levels of this cost: males re-emerged from water more quickly and at higher body temperatures than did females. Body temperature decreased according to an exponential decay function, dropping as much as 6 °C in minutes. Oxygen consumption rates in semi-aquatic anoles were primarily explained by the expected allometric scaling relationship with mass and, therefore, are unlikely to lead to sex differences in physiological limits to dive times. Instead, shorter male dives may help them maintain physiological performance, mating opportunities or territory defense. Antipredator diving behavior is physiologically costly but undoubtedly beneficial to both sexes, highlighting the need for further study of sex-based antipredator optimization.