Alcohol consumption may be associated with the risk of rheumatoid arthritis (RA), but potential sex-related differences in this association have not been explored. Thus, we utilized 87,118 participants in the Kailuan Study, a prospective cohort initiated in 2006 to study the risk factors of cardiovascular disease in a Chinese population. We included those that did not have RA at baseline (2006), and performed cox proportional hazard modeling to calculate the hazard ratio (HR) and 95% confidence interval (95% CI) of RA according to the levels of alcohol consumption (never or past, light or moderate (<1 serving/day for women, <2 servings/day for men), and heavy (>1 serving/day for women, >2 servings/day for men), adjusting for age, sex, body mass index, and smoking. Diagnoses of RA were confirmed via medical record review by rheumatologists. From 2006 to 2018, we identified 87 incident RA cases. After adjusting for potential confounders, the HR of RA was 1.26 (95% CI: 0.62, 2.56) for participants with light or moderate alcohol consumption and 1.98 (95% CI: 0.93, 4.22) for participants with heavy alcohol consumption) versus non-drinkers. The HR of each 10 g increase in alcohol consumption was 1.11 (95% CI: 0.98, 1.26) (p-trend = 0.09). A significant association between alcohol consumption and RA risk was observed in women, but not in men (p for interaction = 0.06). Among women, each 10 g increase in alcohol consumption was significantly associated with a high risk of RA (HR: 1.56; 95% CI: 1.06, 2.29). In contrast, each 10 g increase in alcohol consumption was not significantly associated with the risk of RA in men (HR: 1.10; 95% CI: 0.97, 1.25). Excluding past drinkers generated similar results. In this prospective Chinese cohort, increasing alcohol consumption was associated with an elevated risk of RA among women, but not in men. These findings highlight the importance of incorporating analysis of sex differences into future studies of alcohol consumption and RA risk.