Substance dependence is associated with executive function deficits, but the nature of these executive defects and the effect that different drugs and sex have on these defects have not been fully clarified. Therefore, we compared the performance of alcohol- (n = 33; 18 women), cocaine- (n = 27; 14 women), and methamphetamine-dependent individuals (n = 38; 25 women) with sex-matched healthy comparisons (n = 36; 17 women) on complex decision making as measured with the Iowa Gambling Task, working memory, cognitive flexibility, and response inhibition. Cocaine- and methamphetamine-dependent individuals were impaired on complex decision making, working memory, and cognitive flexibility, but not on response inhibition. The deficits in working memory and cognitive flexibility were milder than the decision-making deficits and did not change as a function of memory load or task switching. Interestingly, decision making was significantly more impaired in women addicted to cocaine or methamphetamine than in men addicted to these drugs. Together, these findings suggest that drug of choice and sex have different effects on executive functioning, which, if replicated, may help tailor intervention.