Males and females present differences in complex traits and in the risk of a wide array of diseases. Genotype by sex (GxS) interactions are thought to account for some of these differences. However, the extent and basis of GxS are poorly understood. In the present study, we provide insights into both the scope and the mechanism of GxS across the genome of about 450,000 individuals of European ancestry and 530 complex traits in the UK Biobank. We found small yet widespread differences in genetic architecture across traits. We also found that, in some cases, sex-agnostic analyses may be missing trait-associated loci and looked into possible improvements in the prediction of high-level phenotypes. Finally, we studied the potential functional role of the differences observed through sex-biased gene expression and gene-level analyses. Our results suggest the need to consider sex-aware analyses for future studies to shed light onto possible sex-specific molecular mechanisms.