In this paper, we review the scientific reports of sex-related differences in dogs as compared to the outcomes described for wild animals. Our aim was to explore whether the differences in male and female dogs were affected by the domestication process, in which artificial selection is the main driver. For this purpose, we used information regarding personality traits, cognitive processes, and perception, for which there is a wide theoretical framework in behavioral ecology. Aggressiveness and boldness, described as a behavioral syndrome, were reported as being higher in males than females. Females also seemed more inclined to interspecific social interactions with humans in tasks that require cooperative skills, whereas males appeared more inclined to social play, thus implying different levels of social engagement between the sexes, depending on the context. Studies on cognitive processes underlined a greater flexibility in resorting to a particular navigation strategy in males. Most lateralization studies seem to support the view that males are preferentially left-handed and females are preferentially right-handed. Reports on visual focusing coherently rank females as superior in focusing on single social and physical stimuli. Only male dogs are able to discriminate kin; however, the timing of the olfactory recording in sexes is related to the stimulus relevance. Dogs are largely in line with life-history theories, which indicate that sex differences in dogs are mainly rooted in their biological and evolutionary heritage, remaining unchanged despite artificial selection. In contrast, the higher intraspecific sociability in wild male animals was not replicated in dogs.