Sex-biased demographic events can result in asymmetries in female and male effective population size that can lead to different patterns of genetic variation on chromosome X than are expected based on the patterns on the autosomes. Previous studies point to a period around the time of the dispersal of anatomically modern humans out of Africa when chromosome X experienced a significant reduction in effective population size relative to the autosomes. Here, we explore whether a sex-biased demographic history could explain these observations. We use coalescent simulations to show that a model of primarily male migration during the out-of-Africa dispersal can produce the striking patterns that are observed when comparing patterns of genetic variation on the autosomes and chromosome X. The model involves a history in which after the founder population of non-Africans lost much of its genetic diversity, subsequent mostly male gene flow from an African source brought new diversity into the population. We also explore two additional models, one of sex-biased generation time and one of a substructured population during the dispersal out of Africa with primarily female migration among demes. These latter models cannot account for the magnitude of the observed reduction in chromosome X effective population size, although it is plausible that they played a more minor role in producing the striking chromosome X/autosome patterns.