Multiple sclerosis is a complex, multifactorial, dysimmune disease prevalent in women. Its etiopathogenesis is extremely intricate, since each risk factor behaves as a variable that is interconnected with others. In order to understand these interactions, sex must be considered as a determining element, either in a protective or pathological sense, and not as one of many variables. In particular, sex seems to highly influence immune response at chromosomal, epigenetic, and hormonal levels. Environmental and genetic risk factors cannot be considered without sex, since sex-based immunological differences deeply affect disease onset, course, and prognosis. Understanding the mechanisms underlying sex-based differences is necessary in order to develop a more effective and personalized therapeutic approach.