To date, research suggests that sex and gender impact pathways central to the foci of psychoneuroimmunology (PNI). This review provides a historical perspective on the evolution of sex and gender in psychoneuroimmunology research. Gender and sexually dimorphic pathways may have synergistic effects on health differences in men and women. We provide an overview of the literature of sex and gender differences in brain structure and function, sex steroids, gender role identification, hypothalamic-pituitary-adrenal axis function, genetics, immunology and cytokine response. Specific examples shed light on the importance of attending to sex and gender methodology in PNI research and recommendations are provided.