The novel severe acute respiratory syndrome coronavirus 2, the cause of the coronavirus disease 2019 (COVID-19) pandemic, has ravaged the world, with over 22 million total cases and over 770,000 deaths worldwide as of August 18, 2020. While the elderly are most severely affected, implicating an age bias, a striking factor in the demographics of this deadly disease is the gender bias, with higher numbers of cases, greater disease severity, and higher death rates among men than women across the lifespan. While pre-existing comorbidities and social, behavioral, and lifestyle factors contribute to this bias, biological factors underlying the host immune response may be crucial contributors. Women mount stronger immune responses to infections and vaccinations and outlive men. Sex-based biological factors underlying the immune response are therefore important determinants of susceptibility to infections, disease outcomes, and mortality. Despite this, gender is a profoundly understudied and often overlooked variable in research related to the immune response and infectious diseases, and it is largely ignored in drug and vaccine clinical trials. Understanding these factors will not only help better understand the pathogenesis of COVID-19, but it will also guide the design of effective therapies and vaccine strategies for gender-based personalized medicine. This review focuses on sex-based differences in genes, sex hormones, and the microbiome underlying the host immune response and their relevance to infections with a focus on coronaviruses.