Self-injurious thoughts and behaviors (SITBs), including nonsuicidal self-injury, suicidal thoughts, suicide attempts, and suicide death exhibit substantial sex differences. Across most countries, men die by suicide more frequently than women; yet, women think about and attempt suicide more frequently than men. Research on sex differences in nonsuicidal self-injury is less developed; however, nonsuicidal self-injury is historically understood as a primarily female phenomenon. This review describes current research on sex differences across SITBs with a focus on factors that moderate these effects, such as age, race, geographic region, and time. Additionally, this review describes factors that may help to explain why sex differences across SITBs exist, including differences in culture, access to lethal suicide methods, rates of mental illness, and utilization of health care. The role of gender, and particularly non-binary gender, is also discussed. Current understanding of these sex differences is described with an eye toward future research on this topic.