Objective: Previous research suggests differential effects of participant-selected (PS) vs. researcher-selected (RS) music on emotional responses to music listening. This study investigates whether such selection strategies, as well as gender, influence (1) stress and (2) mood responses. Additionally, we examine the role of (3) stimulus-induced emotions and (4) emotion regulation strategies. Methods: Participants (N = 61) listened to auditory stimuli (PS music, RS music, sound of lapping water (LW); randomized) on three days and underwent a cold pressor test (CPT) while listening. Stress parameters (subjective acute stress, heart rate, parameter RMSSD, salivary alpha-amylase, salivary cortisol), mood dimensions (calmness, valence, energetic arousal), emotions, and emotion regulation strategies were measured. Multilevel and mediation analyses were conducted. Results: (1) There were no direct effects of selection strategy or gender on stress responses, but interaction effects indicated that women showed the strongest subjective stress response and the longest HR recovery with PS music, while men showed the lowest HR response to the CPT with PS music. (2) No mood differences emerged between PS and RS music overall. Women showed stronger variability in calmness overall as well as perceived higher arousal when listening to PS music compared to men. (3) Higher stimulus-induced anger in men compared to women and with LW compared to PS was associated with lower calmness and valence, while no consistent pattern emerged for the stress responses. (4) Women scored higher on reappraisal, associated with a decrease in parasympathetic activity, whereas men scored higher on suppression, associated with an increase in endocrine activity. Conclusions: Music selection and gender appear to have no direct impact on stress and mood responses overall, although men tend to benefit more from self-selected music than women. Our findings provide first indications that avoiding music stimuli that induce anger may facilitate mood management via music. Furthermore, finding alternative emotion regulation strategies to the strategy of suppression may be a helpful approach to improve music-based stress management.