Pharmacovigilance and pharmacoepidemiology studies regarding the sex difference in adverse drug reactions are numerous, and it is now a challenge to take them into account in order to increase drug safety. Here, we present an overview of this topic through data on epidemiology, mechanisms, and methods used for assessing sex differences in drug safety. Because the literature is extensive, we choose to expose a few examples of studies for cardiovascular drugs, anti-infectious, psychotropics, antidiabetics, anticancer drugs and some specific drugs to illustrate our purpose. Many studies show a higher risk in women for most of drugs involving in sex differences. However, physiological, methodological and subjective points have to be taken into account to interpret these results. Clinical trials must also enroll more women to better evaluate sex differences both in efficacy and pharmacovigilance. Nevertheless, when there is a pharmacological rationale underlying the observed association between sex and drug safety profile, it is now unavoidable to think about its consideration for a personalized prescription.