Most sex differences in phenotype are controlled by gonadal hormones, but recent work on laboratory strain mice that present discordant chromosomal and gonadal sex showed that sex chromosome complement can have a direct influence on the establishment of sex-specific behaviours, independently from gonads. In this study, we analyse the behaviour of a rodent with naturally occurring sex reversal: the African pygmy mouse Mus minutoides, in which all males are XY, while females are of three types: XX, XX* or X*Y (the asterisk represents an unknown X-linked mutation preventing masculinisation of X*Y embryos). X*Y females show typical female anatomy and, interestingly, have greater breeding performances. We investigate the link between sex chromosome complement, behaviour and reproductive success in females by analysing several behavioural features that could potentially influence their fitness: female attractiveness, aggressiveness and anxiety. Despite sex chromosome complement was not found to impact male mate preferences, it does influence some aspects of both aggressiveness and anxiety: X(*)Y females are more aggressive than the XX and XX*, and show lower anxiogenic response to novelty, like males. We discuss how these behavioural differences might impact the breeding performances of females, and how the sex chromosome complement could shape the differences observed.