Four out of 10 millennials say their debt is "overwhelming" as well as their biggest financial worry, according to a new survey.

Perhaps due to their huge debts, more than half (56%) say they are "living paycheck to paycheck."

Savings vary by gender, according to the survey done by Harris Poll on behalf of Wells Fargo. Forty-five percent of millennial women feel overwhelmed by debt, versus 33 percent of millennial men. Sixty-one percent of men and 50 percent of women say they're saving. The difference could be because average income for millennial men is $77,000, compared with $56,000 for women.

Editor's Note: 38 Trades That Could Turn $1,000 Into $49,000

Oddly, most (80 percent) say the Great Recession has taught them they have to save now to survive economic problems in the future.

Almost half (47 percent) are allocating 50 percent or more of their paychecks to different types of debt.

Asked to estimate debt categories as a percentage of their monthly pay, they listed credit card debt, 16 percent; mortgage debt, 15 percent; student loan debt, 12 percent; auto debt, 9 percent; and medical debt, 5 percent.

"People have to closely examine what they are spending their money on and figure out the best way to comfortably manage debt and savings levels," states Karen Wimbish, director of Retail Retirement at Wells Fargo, in a press release.

Despite problems with debt, most (72 percent) say they're confident they will be able to save enough for the future, although 63 percent of women expressed confidence in the future compared to 80 percent of men. Still, 40 percent say they have "no idea" how much they'll need to save for their retirement.

President Barack Obama's move to extend student loan relief will provide a small measure of relief.

Obama's executive order caps repayments at 10 percent of income and any balance remaining after 20 years will be forgiven. It will affect about five million people who took out loans before October 2007.

"It's not going to take effect until next December, so we still have even more time. And tuition rates are increasing by 2 to 6 percent each year, so it is still a huge problem for them long term," Dan Schawbel, founder of Millennial Branding and author of "Promote Yourself," tells CNBC.

Editor's Note: 38 Trades That Could Turn $1,000 Into $49,000

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