Testosterone (T) regulates many traits related to fitness, including aggression. However, individual variation in aggressiveness does not always relate to circulating T, suggesting that behavioural variation may be more closely related to neural sensitivity to steroids, though this issue remains unresolved. To assess the relative importance of circulating T and neural steroid sensitivity in predicting behaviour, we measured aggressiveness during staged intrusions in free-living male and female dark-eyed juncos (Junco hyemalis). We compared aggressiveness to plasma T levels and to the abundance of androgen receptor (AR), aromatase (AROM) and oestrogen receptor alpha (ORα) mRNA in behaviourally relevant brain areas (avian medial amygdala, hypothalamus and song control regions). We also asked whether patterns of covariation among behaviour and endocrine parameters differed in males and females, anticipating that circulating T may be a better predictor of behaviour in males than in females. We found that circulating T related to aggressiveness only in males, but that gene expression for ORα, AR and AROM covaried with individual differences in aggressiveness in both sexes. These findings are among the first to show that individual variation in neural gene expression for three major sex steroid-processing molecules predicts individual variation in aggressiveness in both sexes in nature. The results have broad implications for our understanding of the mechanisms by which aggressive behaviour may evolve.