Since the beginning of the COVID-19 pandemic, a major impact on the mental health of the population has been observed, with women being one of the most affected groups. From the lockdown to “de-escalation” phases, sex differences have been recognised as significant determinants of mental health. Thus, equally ensuring physical and mental protection at work remains one of the challenges faced by industrial companies, especially in the construction sector, where the percentage of employed women has increased in recent years. This study aims to examine the impact of sex differences on psychological distress and work engagement in the productive construction sector, as well as related variables. For this, a cross-sectional descriptive study was performed. Descriptive statistical analyses were completed, and non-parametric Mann-Whitney U and Chi-squared tests were used to identify differences between men and women. This was followed by logistic regression analysis by sex. Psychological distress is more prevalent among women, even after controlling for most variables. Both sexes receive equal preventive measures and training from the companies, yet women still experience higher levels of psychological distress. At the beginning of the pandemic, women reported higher levels of anxiety and fear of COVID-19 and of perceived danger associated with the pandemic than men. However, these differences were not present by 2023. For men, work engagement appeared to be a determining factor for a stable mental health, while for women, health and physical status seemed to be more influential. In both sexes, psychological distress was found to be conditioned by mental and emotional well-being. In a sector where women are increasingly present, the differences observed in terms of how physical and mental health are affected across the two sexes justify the need to promote data analysis that acknowledges this reality.