In addition to their effects on sexual differentiation and reproduction, sex hormones appear to influence the immune system. This results in a sexual dimorphism in the immune response in humans: for instance, females produce more vigorous cellular and more vigorous humoral immune reactions, are more resistant to certain infections, and suffer a higher incidence of autoimmune diseases. Disease expression is also affected by the reproductive status of the female. As sex steroids—estrogens, progesterone and testosterone—differ between gender and within different reproductive stages, a lot of research has focussed on the effects of sex hormones on immune responses. Although there is also a vast literature on the effects of sex hormones on immune responses in animals, in this review we will focus on the most intriguing effects and mechanisms by which sex hormones affect different components of the immune system in humans.