Pulmonary hypertension is a rare, incurable, and progressive disease. Although there is increasing evidence that immune disorders, particularly those associated with connective tissue diseases, are a strong predisposing factor in the development of pulmonary arterial hypertension (PAH), there is currently a lack of knowledge about the detailed molecular mechanisms responsible for this phenomenon. Exploring this topic is crucial because patients with an immune disorder combined with PAH have a worse prognosis and higher mortality compared with patients with other PAH subtypes. Moreover, data recorded worldwide show that the prevalence of PAH in women is 2× to even 4× higher than in men, and the ratio of PAH associated with autoimmune diseases is even higher (9:1). Sexual dimorphism in the pathogenesis of cardiovascular disease was explained for many years by the action of female sex hormones. However, there are increasing reports of interactions between sex hormones and sex chromosomes, and differences in the pathogenesis of cardiovascular disease may be controlled not only by sex hormones but also by sex chromosome pathways that are not dependent on the gonads. This review discusses the role of estrogen and genetic factors including the role of genes located on the X chromosome, as well as the potential protective role of the Y chromosome in sexual dimorphism, which is prominent in the occurrence of PAH associated with autoimmune diseases. Moreover, an overview of animal models that could potentially play a role in further investigating the aforementioned link was also reviewed.