Background Despite well‐recognized differences in the atherosclerotic cardiovascular disease risk between men and women, sex differences in risk factors and sex‐specific mechanisms in the pathophysiology of atherosclerotic cardiovascular disease remain poorly understood. Lipid metabolism plays a central role in the development of atherosclerotic cardiovascular disease. Understanding sex differences in lipids and their genetic determinants could provide mechanistic insights into sex differences in atherosclerotic cardiovascular disease and aid in precise risk assessment. Herein, we examined sex differences in plasma lipidome and heterogeneity in genetic influences on lipidome in men and women through sex‐stratified genome‐wide association analyses. Methods and Results We used data consisting of 179 lipid species measured by shotgun lipidomics in 7266 individuals from the Finnish GeneRISK cohort and sought for replication using independent data from 2045 participants. Significant sex differences in the levels of 141 lipid species were observed ( P <7.0×10 ⁻⁴ ). Interestingly, 121 lipid species showed significant age‐sex interactions, with opposite age‐related changes in 39 lipid species. In general, most of the cholesteryl esters, ceramides, lysophospholipids, and glycerides were higher in 45‐ to 50‐year‐old men compared with women of same age, but the sex differences narrowed down or reversed with age. We did not observe any major differences in genetic effect in the sex‐stratified genome‐wide association analyses, which suggests that common genetic variants do not have a major role in sex differences in lipidome. Conclusions Our study provides a comprehensive view of sex differences in circulatory lipids pointing to potential sex differences in lipid metabolism and highlights the need for sex‐ and age‐specific prevention strategies.