Cannabis Use Disorder (CUD) has been linked to a complex set of neuro-behavioral risk factors. While many studies have revealed sex and gender differences, the relative importance of these risk factors by sex and gender has not been described. We used an “explainable” machine learning approach that combined decision trees [gradient tree boosting, XGBoost] with factor ranking tools [SHapley’s Additive exPlanations (SHAP)] to investigate sex and gender differences in CUD. We confirmed that previously identified environmental, personality, mental health, neurocognitive, and brain factors highly contributed to the classification of cannabis use levels and diagnostic status. Risk factors with larger effect sizes in men included personality (high openness), mental health (high externalizing, high childhood conduct disorder, high fear somaticism), neurocognitive (impulsive delay discounting, slow working memory performance) and brain (low hippocampal volume) factors. Conversely, risk factors with larger effect sizes in women included environmental (low education level, low instrumental support) factors. In summary, environmental factors contributed more strongly to CUD in women, whereas individual factors had a larger importance in men.