Sexually dimorphic differences in genome activity, which is orchestrated by transcription factors (TFs), could explain the differential response of male and female embryos to environmental stressors. To proof this hypothesis, the expression of cellular and extracellular TFs was investigated in male and female bovine embryos in vitro cultured either under low (5%) or high (20%) oxygen levels. The intracellular reactive oxygen species (ROS), total cell number, expression of nuclear factor (erythroid-derived 2) factor 2 (NFE2L2), Krüppel-like factor 4 (KLF4), notch receptor 1 (NOTCH1), E2F transcription factor 1 (E2F1), and SREBF2 along with extracellular vesicles (EVs) biogenesis genes were assessed at the blastocyst stage and their released EVs. Low blastocyst rate in both sexes due to oxidative stress (OS) was accompanied by increased ROS accumulation and reduced cell number in female embryos. The messenger RNA and protein levels of NFE2L2, as well as KLF4 expression, were higher in male embryos exposed to OS compared with female embryos. However, the expression of NOTCH1 and E2F1 was higher in female embryos cultured in high oxygen level. Male embryos exposed to OS released more EVs enriched with NFE2L2, superoxide dismutase 1, and NOTCH1 accompanied by elevated expression of EVs biogenesis genes. Accordingly, differential expression of TFs and their release into spent media could partially explain the sexual dimorphic response of bovine embryos to environmental stresses.