Malaria is the most lethal parasitic disease worldwide; the severity of symptoms and mortality are higher in men than in women, exhibiting an evident sexual dimorphism in the immune response; therefore, the contribution of 17β-estradiol and testosterone to this phenomenon has been studied. Both hormones differentially affect several aspects of innate and adaptive immunity. Dehydroepiandrosterone (DHEA) is the precursor of both hormones and is the sexual steroid in higher concentrations in humans, with immunomodulatory properties in different parasitic diseases; however, the involvement of DHEA in this sexual dimorphism has not been studied. In the case of malaria, the only information is that higher levels of DHEA are associated with reduced parasitemia. Therefore, this work aims to analyze the DHEA contribution to the sexual dimorphism of the immune response in malaria. We assessed the effect of modifying the concentration of DHEA on parasitemia, the number of immune cells in the spleen, cytokines, and antibody levels in plasma of CBA/Ca mice infected with ANKA ( ANKA). DHEA differentially affected the immune response in males and females: it decreased IFN-γ, IL-2 and IL-4 concentrations only in females, whereas in gonadectomized males, it increased IgG2a and IgG3 antibodies. The results presented here show that DHEA modulates the immune response against differently in each sex, which helps to explain the sexual dimorphism present in malaria.