Males and females differ in their immunological responses to foreign and self-antigens and show distinctions in innate and adaptive immune responses. Certain immunological sex differences are present throughout life, whereas others are only apparent after puberty and before reproductive senescence, suggesting that both genes and hormones are involved. Furthermore, early environmental exposures influence the microbiome and have sex-dependent effects on immune function. Importantly, these sex-based immunological differences contribute to variations in the incidence of autoimmune diseases and malignancies, susceptibility to infectious diseases and responses to vaccines in males and females. Here, we discuss these differences and emphasize that sex is a biological variable that should be considered in immunological studies.