Most research looking at psychological similarities and differences between women and men has been carried out in North America and Western Europe. In this paper, I review a body of cross-cultural evidence showing that it is precisely in these Western countries that women and men differ the most in terms of personality, self-construal, values, or emotions. Much less-pronounced gender differences are observed, if at all, in Asian and African countries. These findings are unexpected from the perspectives of the two most influential frameworks applied to sex differences coming from evolutionary psychology and social role theory. However, recent research related to social comparison and self-categorization theories suggests a promising approach to explain why more egalitarian societies can paradoxically create greater psychological differences between women and men.