Sexual dimorphism refers to differences between biological sexes that extend beyond sexual characteristics. In humans, sexual dimorphism in the immune response has been well demonstrated, with females exhibiting lower infection rates than males for a variety of bacterial, viral, and parasitic pathogens. There is also a substantially increased incidence of autoimmune disease in females compared to males. Together, these trends indicate that females have a heightened immune reactogenicity to both self and non-self-molecular patterns. However, the molecular mechanisms driving the sexually dimorphic immune response are not fully understood. The female sex hormones estrogen and progesterone, as well as the male androgens, such as testosterone, elicit direct effects on the function and inflammatory capacity of immune cells. Several studies have identified a sex-specific transcriptome and methylome, independent of the well-described phenomenon of X-chromosome inactivation, suggesting that sexual dimorphism also occurs at the epigenetic level. Moreover, distinct alterations to the transcriptome and epigenetic landscape occur in synchrony with periods of hormonal change, such as puberty, pregnancy, menopause, and exogenous hormone therapy. These changes are also mirrored by changes in immune cell function. This review will outline the evidence for sex hormones and pregnancy-associated hormones as drivers of epigenetic change, and how this may contribute to the sexual dimorphism. Determining the effects of sex hormones on innate immune function is important for understanding sexually dimorphic autoimmune diseases, sex-specific responses to pathogens and vaccines, and how innate immunity is altered during periods of hormonal change (endogenous or exogenous).