During first meiotic prophase, homologous chromosomes are held together by the synaptonemal complex, a tripartite proteinaceous structure that extends along the entire length of meiotic bivalents. While this feature is applicable for autosomes, sex chromosomes often escape from this rule. Many species present sex chromosomes that differ between them in their morphology, length, and gene content. Moreover, in some species, sex chromosomes appear in a single dose in one of the sexes. In all of these cases, the behavior of sex chromosomes during meiosis is conspicuously affected, and this includes the assembly and dynamics of the synaptonemal complex. We review in this study the structure of the synaptonemal complex in the sex chromosomes of three groups of organisms, namely: mammals, orthopterans, and hemipterans, which present different patterns of sex chromosome structure and behavior. Of special interest is the analysis of the organization of the axial/lateral elements of the synaptonemal complex in relation to other axial structures organized along meiotic chromosomes, mainly the cohesin axis. The differences found in the behavior of both axial structures reveal that while the organization of a cohesin axis along sex chromosomes is a conserved feature in most organisms and it shows very little morphological variations, the axial/lateral elements of the synaptonemal complex present a wide range of structural modifications on these chromosomes.