Women have more adverse events (AEs) from chemotherapy than men, but few studies have investigated sex differences in immune or targeted therapies. We examined AEs by sex across different treatment domains. We analyzed treatment-related AEs by sex in SWOG phase II and III clinical trials conducted between 1980 and 2019, excluding sex-specific cancers. AE codes and grade were categorized using the Common Terminology Criteria for Adverse Events. Symptomatic AEs were defined as those aligned with the National Cancer Institute's Patient-Reported Outcome-Common Terminology Criteria for Adverse Events; laboratory-based or observable/measurable AEs were designated as objective (hematologic nonhematologic). Multivariable logistic regression was used, adjusting for age, race, and disease prognosis. Thirteen symptomatic and 14 objective AE categories were examined. In total, N = 23,296 patients (women, 8,838 37.9%; men, 14,458 62.1%) from 202 trials experiencing 274,688 AEs were analyzed; 17,417 received chemotherapy, 2,319 received immunotherapy, and 3,560 received targeted therapy. Overall, 64.6% (n = 15,051) experienced one or more severe (grade ≥ 3) AEs. Women had a 34% increased risk of severe AEs compared with men (odds ratio OR = 1.34; 95% CI, 1.27 to 1.42; < .001), including a 49% increased risk among those receiving immunotherapy (OR = 1.49; 95% CI, 1.24 to 1.78; < .001). Women experienced an increased risk of severe symptomatic AEs among all treatments, especially immunotherapy (OR = 1.66; 95% CI, 1.37 to 2.01; < .001). Women receiving chemotherapy or immunotherapy experienced increased severe hematologic AE. No statistically significant sex differences in risk of nonhematologic AEs were found. The greater severity of both symptomatic AEs and hematologic AEs in women across multiple treatment modalities indicates that broad-based sex differences exist. This could be due to differences in AE reported, pharmacogenomics of drug metabolism/disposition, total dose received, and/or adherence to therapy. Particularly large sex differences were observed for patients receiving immunotherapy, suggesting that studying AEs from these agents is a priority.