A multitude of evidence has suggested the differential incidence, prevalence and severity of asthma between males and females. A compilation of recent literature recognized sex differences as a significant non-modifiable risk factor in asthma pathogenesis. Understanding the cellular and mechanistic basis of sex differences remains complex and the pivotal point of this ever elusive quest, which remains to be clarified in the current scenario. Sex steroids are an integral part of human development and evolution while also playing a critical role in the conditioning of the immune system and thereby influencing the function of peripheral organs. Classical perspectives suggest a pre-defined effect of sex steroids, generalizing estrogens popularly under the "estrogen paradox" due to conflicting reports associating estrogen with a pro- and anti-inflammatory role. On the other hand, androgens are classified as "anti-inflammatory," serving a protective role in mitigating inflammation. Although considered mainstream and simplistic, this observation remains valid for numerous reasons, as elaborated in the current review. Women appear immune-favored with stronger and more responsive immune elements than men. However, the remarkable female predominance of diverse autoimmune and allergic diseases contradicts this observation suggesting that hormonal differences between the sexes might modulate the normal and dysfunctional regulation of the immune system. This review illustrates the potential relationship between key elements of the immune cell system and their interplay with sex steroids, relevant to structural cells in the pathophysiology of asthma and many other lung diseases. Here, we discuss established and emerging paradigms in the clarification of observed sex differences in asthma in the context of the immune system, which will deepen our understanding of asthma etiopathology.