Annual variation in day length (photoperiod) triggers changes in the immune system of seasonal breeders. The rationale behind this study was to delineate any sex differences in immune responses of photoperiodically entrained animals challenged against lipopolysaccharide (LPS)-induced inflammatory stress. We observed that photoperiodically entrained [short day, SD, 10 h light (L):14 h dark (D); long day, LD, 16 h L:8 h D; and natural day length, NDL, 12 h L:12 h D] male and female Indian palm squirrels, Funambulus pennanti, presented sexual dimorphism in immune status after LPS-induced stress. Females presented high humoral (anti-keyhole limpet hemocyanin immunoglobulin) and cellular immunity (lymphocyte proliferation) compared with the males of all photoperiodic conditions. Female squirrels showed reduced pro-inflammatory cytokine levels (interleukin-1β, interleukin-6, and tumor necrosis factor-α) than the males suggesting their high efficiency to recover from LPS-induced inflammatory stress. Increased duration of melatonin secretion and corticosterone concentration in squirrels experiencing SD evidently supported survival of squirrels as compared with control (NDL) and LD squirrels of both sexes. Decreased immune status in both sexes under LD condition might be due to a short melatonin signal mimicking the LDs of summer. Thus, we infer that photoperiodic entrainment via the levels of melatonin and corticosterone synergistically supported more the survival of female squirrels under LPS-induced stress.