Major depressive disorder (MDD) is a leading cause of morbidity and disability worldwide, with approximately twice as many women reported to have a lifetime occurrence of MDD than men. MDD is a polygenic trait, wherein hundreds to thousands of common genetic variants with small effect sizes contribute to risk of disease. This study investigated sex differences in the risk factor comorbidity and genetic architecture of MDD in over 16,000 people aged 45-85 from the Canadian Longitudinal Study on Aging (CLSA), with 21% of females (n=1,741) and 12% of males (n=1,055) coded with MDD. Polygenic risk scores (PRS) for individuals were made using sex-stratified and non-sex-specific ("both-sexes") UK Biobank genome-wide association study summary statistics data. Odds of MDD for the sex-specific PRSs, socioeconomic, lifestyle and clinical risk factors associated with cardiovascular disease risk were assessed using a multivariable logistic regression model for each sex. Significant sex-specific risk factor associations with odds of MDD were found in females (history of ischemic heart disease (OR 1.52 (1.14-2.01), hypothyroidism (OR 1.42 (1.25-1.63), not being partnered (OR 1.34 (1.17-1.52)), having diabetes (OR 1.30 (1.11-1.52)), and higher female sex-specific autosomal PRS (OR 1.10 (1.04-1.16))) and males (high blood pressure, OR 1.35 (1.04-1.47)). Significant differences were observed in the proportion of variables that contributed to the most to each model, evaluated by relative pseudo-R2 values. Age contributed the most to the model for both sexes (46.9% for females, 32.5% for males), wherein younger age was associated with higher odds of MDD. These results underscore the relevance for sex-disaggregating analyses of complex traits, like MDD, and the incorporation of clinical variables into models of MDD, in applications such as early detection and primary prevention.