There are striking sex differences in the prevalence and symptomology of Major Depressive Disorder (MDD). We conducted the largest sex-stratified genome wide association and genotype-by-sex interaction meta-analyses of MDD to date (Females: 130,471 cases, 159,521 controls. Males: 64,805 cases, 132,185 controls). We found 16 and eight independent genome-wide significant SNPs in females and males, respectively, including one novel variant on the X chromosome. MDD in females and males shows substantial genetic overlap with a large proportion of MDD variants displaying similar effect sizes across sexes. However, we also provide evidence for a higher burden of genetic risk in females which could be due to female-specific variants. Additionally, sex-specific pleiotropic effects may contribute to the higher prevalence of metabolic symptoms in females with MDD. These findings underscore the importance of considering sex-specific genetic architectures in the study of health conditions, including MDD, paving the way for more targeted treatment strategies.