In major depressive disorder, women exhibit higher lifetime prevalence and different antidepressant response rates than men, which illustrates the importance of examining individual differences in the pathophysiology of depression and therapeutic response. In recent years, the consideration of sex in related preclinical research has thus gained interest—particularly in light of novel evidence for rapid-acting antidepressants. Notably, the literature recently revealed a higher sensitivity of females to the antidepressant effects of the N-methyl-D-aspartate receptor antagonist ketamine, in both baseline and preclinical conditions. Combined with its fast-acting and relatively sustained properties, this evidence highlights ketamine as a particularly interesting therapeutic alternative for this sensitive population, and supports the value in considering sex as a critical factor for improved individualized therapeutic strategies.