•Cross-cultural study including 18 countries and more than 30,000 participants.•Differences in social anxiety obtained between men and women in community samples.•Differences in social anxiety obtained between men and women in clinical samples.•Differences in social anxiety obtained between different age groups.•Differences in social anxiety obtained between men and women in 18 countries. Sex differences between men and women in social anxiety are largely unexplored. This study sought to shed some light on this topic. We administered self-report measures of social anxiety to community samples of 17,672 women and 13,440 men from 16 Latin American countries, Spain and Portugal, as well as to a clinical sample of 601 patients diagnosed with social anxiety disorder. Small but significant differences were found between men and women in the general degree of social anxiety and self-reported fears of interactions with the opposite sex, criticism and embarrassment, and speaking in public-talking to people in authority. These results point to small, but meaningful differences between men and women in social anxiety. Implications of these results for the self-report measurement of social anxiety in men and women are discussed.