The immunological mechanisms that contribute to multiple sclerosis (MS) differ between males and females. Females are 2–3 times more likely to develop MS compared to males, however the reason for this discrepancy is unknown. Once MS is established, there is a more inflammatory yet milder form of disease in females whereas males generally suffer from more severe disease and faster progression, neural degradation, and disability. Some of these differences relate to genetics, including genetic control of immune regulatory genes on the X-chromosome, as well as immune modulatory properties of sex hormones. Differences in MS development may also relate to how sex interacts with environmental risk factors. There are several environmental risk factors for MS including late-onset Epstein Barr virus infection, low serum vitamin D levels, low UV radiation exposure, smoking, obesity, and lack of physical activity. Most of these risk factors impact males and females differently, either due to biological or immunological processes or through behavioral differences. In this review, we explore these differences further and focus on how the interaction of environmental risk factors with sex hormones may contribute to significantly different prevalence and pathology of MS in males and females.