The fatty acid accumulation in fish tissues are closely related to fish sex, yet the sex differences in fish fatty acids have not been fully known. This experiment investigated the sex differences in fatty acid composition of Chinese tongue sole (Cynoglossus semilaevis), which have typical sexual dimorphism and reversal. Three sexes, namely females, males and pseudomales, were involved in this study. Five batches of fish samples were collected from different fish farms in Shandong Province, China. These fish were identified to be at the gonadal development stage of III–IV. The disparity of fatty acid between sexes (female vs male and pseudomale vs. male) was evaluated by the distance coefficient (Dsex) and multi-variate similarity of percentages analysis (SIMPER). The highest Dsex values between females and males were found in gonad, followed by liver and eye. The fatty acids that differed between females and males were mainly DHA, 16:1n-7, 18:1n-9, and 18:0. The sex difference in DHA and 18:1n-9 contributed significantly to the overall sex difference in fatty acid of brain, eye, and gonad, whereas that in 16:1n-7 contributed significantly in heart, gill, liver, and muscle. The sex difference in 18:0 contributed significantly to the overall sex difference in fatty acid of heart, gill, gut, and skin. The sex differences in fatty acid between pseudomales and males were generally insignificant. In conclusion, at this gonadal development stage (III–IV), the sex differences in fatty acid between female and male Chinese tongue sole have emerged, mainly in the gonad. The testes had higher DHA levels but lower levels of 16:1n-7 and 18:1n-9 than ovaries. In addition, for pseudomales, the phenotypic sex more substantially determined the fatty acid composition than the genetic sex.