Sexual dimorphism in energy metabolism is now established and suggested to affect many aspects of metabolic diseases and in particular diabetes and obesity. This is strongly related to sex-based differences in whole-body insulin resistance. Women are more insulin sensitive compared to men, but this metabolic advantage gradually disappears after menopause or when insulin resistance progresses to hyperglycemia and diabetes. In this narrative review, first, we describe the pathophysiology related to insulin resistance and then we present the epidemiological evidence as well as the important biological factors that play a crucial role in sexual dimorphism in insulin sensitivity. We focus particularly on the differences in body fat and muscle mass distribution and function, in inflammation and in sex hormones between males and females. Most importantly, we describe the significant mechanistic differences in insulin sensitivity as well as glucose and lipid metabolism in key metabolic organs: liver, white adipose tissue, and skeletal muscle. Finally, we present the sex-based differences in response to different interventions and discuss important open research questions.