Within this review, sex-specific differences in alveolar epithelial functions are discussed with special focus on preterm infants and the respiratory disorders associated with premature birth. First, a short overview about fetal lung development, the challenges the lung faces during perinatal lung transition to air breathing and respiratory distress in preterm infants is given. Next, clinical observations concerning sex-specific differences in pulmonary morbidity of human preterm infants are noted. The second part discusses potential sex-specific causes of pulmonary complications, including pulmonary steroid receptors and local lung steroid metabolism. With regard to pulmonary steroid metabolism, it is important to highlight which steroidogenic enzymes are expressed at which stage during fetal lung development. Thereafter, we review the knowledge concerning sex-specific aspects of lung growth and maturation. Special focus is given to alveolar epithelial Na transport as a driver of perinatal lung transition and the sex differences that were noted in this process.