This study analyzed the sex difference in the effect of smoking exposure on lung cancer in terms of absolute and relative risks despite the increasing lung cancer incidence in Asian female never smokers. A retrospective cohort study was conducted on individuals aged 40–79 years who participated in the national health screening program in 2007 and 2008 with linkage to the Korea Central Cancer Registry records. We evaluated sex differences in the age-standardized incidence rate (ASR) of lung cancer by smoking history and the hazard ratio (HR) after adjusting for potential confounders. ASRs for male and female never smokers were 92.5 and 38.3 per 100,000 person-years, respectively (rate ratio (RR) = 2.4; 95% confidence interval (CI) = 2.3–2.5). ASRs for male and female current smokers with a 30 pack-year smoking history were 305.3 and 188.4 per 100,000 person-years, respectively (RR = 1.6; 95% CI = 1.3–2.0). Smoking was significantly associated with lung cancer risk for both sexes. HRs for former smokers versus never smokers were 1.27 (95% CI = 1.23–1.33) for men and 1.43 (95% CI = 1.16–1.81) for women. HRs for current smokers versus never smokers were 2.71 (95% CI = 2.63–2.79) for men and 2.70 (95% CI = 2.48–2.94) for women. HRs for lung cancer increased similarly in both men and women according to smoking status. However, among Korean individuals with comparable smoking statuses, lung cancer incidence is higher in men than in women. Sex should be considered in combination with smoking history in the selection of a lung cancer screening target population.