Statin drugs lower blood cholesterol levels for cardiovascular disease prevention. Women are more likely than men to experience adverse statin effects, particularly new–onset diabetes (NOD) and muscle weakness. We determined that female mice are more susceptible than males to glucose intolerance, fasting hyperglycemia, and muscle weakness after short–term statin treatment. Lipidomic, transcriptomic, and biochemical analyses identified reduced docosahexaenoic acid (DHA) levels, and impaired redox tone and mitochondrial respiration specifically in statin–treated female mice. Statin adverse effects could be prevented in females by complementation with a source of DHA. Statin adverse effects segregated with XX chromosome complement, and specifically dosage of the Kdm5c gene, which regulates fatty acid gene expression and has differential expression levels in females and males. In humans, we found that women experience more severe reductions than men in DHA levels after short–term statin administration, and that DHA reduction was correlated with increases in fasting glucose levels. Furthermore, induced pluripotent stem cells derived from women, but not men, who developed NOD exhibited impaired mitochondrial function when treated with statin. Overall, our studies identify biochemical mechanisms, biomarkers, and a genetic risk factor for susceptibility to statin adverse effects, and point to DHA supplementation as a preventive co–therapy.