This article explores the existence and endogeneity of gender differences in strategic behaviour. We report results from two experimental studies employing the beauty contest game, one in the laboratory and one in the classroom. We observe robust and significant gender differences in observed depth of strategic reasoning in favour of men in zero‐stake situations. These differences disappear when a monetary prize is awarded. We also find that females engage in more rounds of reasoning than males when gender and stereotypes are made salient. This effect of priming is driven by females who believe women are superior in the game.