How individuals perceive and evaluate their thermal environment is a key driver of thermoregulatory behaviour, which not only helps maintain personal comfort but also directly impacts building energy consumption - a sector responsible for approximately 30 % of global carbon dioxide emissions. Historically, human thermal assessment investigations have focused on men, resulting in thermal comfort models and regulations primarily based on male thermal responses. Yet, women often report feeling colder and more uncomfortable indoors, which diminishes their quality of life and promotes behaviours that lead to less energy-efficient building operations. Here, we conduct the first systematic literature review and meta-analysis to better understand sex differences in physiological and subjective thermal responses. Our findings indicate that women experience significantly colder sensations and lower skin temperatures than men in cold environments, but also that female thermal responses fluctuate over time due to menstruation, pregnancy, and menopause. However, the available data on these effects remains limited. Further research into individual differences is crucial to promote comfortable, energy-efficient and equitable spaces that can accommodate diverse thermal needs.