Sex differences abound in human health and disease, as they do in other mammals used as models. The extent to which sex differences are conserved at the molecular level across species and tissues is unknown. We surveyed sex differences in gene expression in human, macaque, mouse, rat, and dog, across 12 tissues. In each tissue, we identified hundreds of genes with conserved sex-biased expression-findings that, combined with genomic analyses of human height, explain similar to 12% of the difference in height between females and males. We surmise that conserved sex biases in expression of genes otherwise operating equivalently in females and males contribute to sex differences in traits. However, most sex-biased expression arose during the mammalian radiation, which suggests that careful attention to interspecies divergence is needed when modeling human sex differences.