Background Men and women show differences in sensitivity to reward and punishment, which may impact behavior in health and disease. However, the neural bases of these sex differences remain under-investigated. Here, by combining functional magnetic resonance imaging (fMRI) and a Monetary Incentive Delay Task (MIDT), we examined sex differences in the neural responses to monetary wins and losses and how these regional activities vary with individual reward and punishment sensitivity. Methods Sixty-three healthy adults (27 women) participated in the fMRI study with a 3-Tesla scanner. Sensitivity to punishment (SP) and sensitivity to reward (SR) were assessed with the Sensitivity to Punishment and Sensitivity to Reward Questionnaire (SPSRQ). In the MIDT, participants pressed a button to collect either $1, 1¢, or nil, with the reaction time window titrated across trials to achieve ~67% success. Imaging data were processed with published routines and evaluated with a corrected threshold. Results The results showed higher SP score in women vs. men and higher SR score in men vs. women. Compared to women, men also showed higher response to the receipt of dollar or cent reward in the medial prefrontal cortex, in the area of the supplementary motor cortex. Regional responses to loss did not show sex differences. Further, in a whole-brain regression, activation of the caudate head during 1¢ loss was correlated positively with SR score in men but not in women, and the sex difference was confirmed by a slope test. Conclusions Together, men showed higher SR and neural sensitivity to the receipt of reward, big or small, than women. Individual differences in SR could be reflected by caudate response to a small loss in men. These findings highlight how men and women may differ in reward-related brain activations in the MIDT and add to the imaging literature of sex differences in cognitive and affective functions.