Sexual dimorphism in the mammalian immune system is manifested as more frequent and severe infectious diseases in males and, on the other hand, higher rates of autoimmune disease in females, yet insights underlying those differences are still lacking. Here we characterize sex differences in the immune system by RNA and ATAC sequence profiling of untreated and interferon-induced immune cell types in male and female mice. We detect very few differentially expressed genes between male and female immune cells except in macrophages from three different tissues. Accordingly, very few genomic regions display differences in accessibility between sexes. Transcriptional sexual dimorphism in macrophages is mediated by genes of innate immune pathways, and increases after interferon stimulation. Thus, the stronger immune response of females may be due to more activated innate immune pathways prior to pathogen invasion.