Background and Objectives: The impact of sex on mortality in patients with pneumonia requiring intensive care unit (ICU) treatment is still a controversial discussion, with studies providing heterogeneous results. The reasons for sex differences are widespread, including hormonal, immunologic and therapeutic approaches. This study’s aim was to evaluate sex-related differences in the mortality of ICU patients with pneumonia. Material and Methods: A prospective observational clinical trial was performed at Charité University Hospital in Berlin. Inclusion criteria were a diagnosis of pneumonia and a treatment period of over 24 h on ICU. A total of 436 mainly postoperative patients were included. Results: Out of 436 patients, 166 (38.1%) were female and 270 (61.9%) were male. Significant differences in their SOFA scores on admission, presence of immunosuppression and diagnosed cardiovascular disease were observed. Male patients were administered more types of antibiotics per day (p = 0.028) at significantly higher daily costs (in Euros) per applied anti-infective drug (p = 0.003). Mortalities on ICU were 34 (20.5%) in females and 39 (14.4%) in males (p = 0.113), before correcting for differences in patient characteristics using logistic regression analysis, and afterwards, the female sex showed an increased risk of ICU mortality with an OR of 1.775 (1.029–3.062, p = 0.039). Conclusions: ICU mortality was significantly higher in female patients with pneumonia. The identification of sex-specific differences is important to increase awareness among clinicians and allow resource allocation. The impact of sex on illness severity, sex differences in infectious diseases and the consequences on treatment need to be elucidated in the future.