Non-alcoholic fatty liver disease (NAFLD) remains a major cause of chronic liver disease worldwide. Despite extensive studies, the heterogeneity of the risk factors as well as different disease mechanisms complicate the goals toward effective diagnosis and management. Recently, it has been shown that sex differences play a role in the prevalence and progression of NAFLD. In vitro, in vivo, and clinical studies revealed that the lower prevalence of NAFLD in premenopausal as compared to postmenopausal women and men is mainly due to the protective effects of estrogen and body fat distribution. It has been also described that males and females present differential pathogenic features in terms of biochemical profiles and histological characteristics. However, the exact molecular mechanisms for the gender differences that exist in the pathogenesis of NAFLD are still elusive. Lipogenesis, oxidative stress, and inflammation play a key role in the progression of NAFLD. For NAFLD, only a few studies characterized these mechanisms at the molecular level. Therefore, we aim to review the reported differential molecular mechanisms that trigger such different pathogenesis in both sexes. Differences in lipid metabolism, glucose homeostasis, oxidative stress, inflammation, and fibrosis were discussed based on the evidence reported in recent publications. In conclusion, with this review, we hope to provide a new perspective for the development of future practice guidelines as well as a new avenue for the management of the disease.