In recent years, research efforts have been directed to better characterize the subjective experience of taking psychotropic drugs. This study investigated the sex difference in the subjective tolerability of antipsychotic drugs. Participants were recruited from patients under the care of psychiatric services serving geographical catchment areas in Croydon (UK), Verona (Italy), Amsterdam (Netherlands), and Leipzig (Germany). Clinically unstable patients with a clinical diagnosis of schizophrenia and a research diagnosis of schizophrenia, established using the Item Group Checklist of the Schedule for Clinical Assessment in Neuropsychiatry, were enrolled. Antipsychotic subjective tolerability was rated by means of the Liverpool University Neuroleptic Side Effect Rating Scale. During the recruitment period, 245 men and 164 women with schizophrenia were recruited. In both sexes, the most frequently reported side effects were difficulty in concentrating, tiredness, and weight gain; these side effects occurred in approximately 50% of men and in up to 70% of women. Extrapyramidal and anticholinergic reactions were reported more often by women, whereas men reported sexual problems more often. After background group differences were controlled for, sex was the strongest determinant of the subjective tolerability of antipsychotic drugs. We therefore conclude that sex differences in the subjective tolerability of antipsychotic drugs should be taken into account in the pharmacological management of patients with schizophrenia. Studies should no longer consider men and women as a homogeneous group, given that the subjective tolerability of antipsychotic drugs substantially differs between sexes.