Master's students, recognized as one of the most mobile categories of university students, are particularly conscious of their learning process. However, they still undergo an adaptation process to university studies. This study examines the specificities of adaptation to university studies among master's students of different genders in Spain and Russia. The phenomenon of students' adaptation to university life is considered a multi-component process, comprising physiological, sociocultural, socio-psychological, and academic adaptation. Thus, in this research, we examined the gender specific response to master students' adaptation during the stress of the COVID-19 pandemic. Survey data were collected before and during the lockdown associated with the COVID-19 pandemic. The study involved 226 participants with an average age of 24.3 (56.3% women), from two Russian and two Spanish universities. The research was conducted using the questionnaire 'Assessment of Students' Adaptation to University'. The comparison of adaptation components in Russia and Spain reveals differing results between the countries. Before the pandemic, statistically significant differences in physiological adaptation component values were observed between Russia and Spain (p < 0.05). During the pandemic, all components of master students' adaptation processes in both countries changed for both men and women, with the most dramatic changes occurring in women. In Russia, women experienced a statistically significant increase in the academic adaptation component (p < 0.05), while in Spain, there was a statistically significant decline in sociocultural adaptation (p < 0.01). It is concluded that women in both countries are most susceptible to stress related to the COVID-19 pandemic. Previous studies have indicated that stress affects men and women differently, and our study contributes to this body of research by providing insight into the gender-specific response to stress in master's adaptation to university.