Many complex traits or diseases, such as infectious and autoimmune diseases, cancer, xenobiotics exposure, neurodevelopmental and neurodegenerative diseases, as well as the outcome of vaccination, show a differential susceptibility between males and females. In general, the female immune system responds more efficiently to pathogens. However, this can lead to over-reactive immune responses, which may explain the higher presence of autoimmune diseases in women, but also potentially the more adverse effects of vaccination in females compared with in males. Many clinical and epidemiological studies reported, for the SARS-CoV-2 infection, a gender-biased differential response; however, the majority of reports dealt with a comparable morbidity, with males, however, showing higher COVID-19 adverse outcomes. Although gender differences in immune responses have been studied predominantly within the context of sex hormone effects, some other mechanisms have been invoked: cellular mosaicism, skewed X chromosome inactivation, genes escaping X chromosome inactivation, and miRNAs encoded on the X chromosome. The hormonal hypothesis as well as other mechanisms will be examined and discussed in the light of the most recent epigenetic findings in the field, as the concept that epigenetics is the unifying mechanism in explaining gender-specific differences is increasingly emerging.