The embryonic gonad is the only organ that takes two mutually exclusive differentiating pathways and hence gives rise to two different adult organs: testes or ovaries. The recent application of genomic tools including microarrays, next-generation sequencing approaches, and epigenetics can significantly contribute to decipher the molecular mechanisms involved in the processes of sex determination and sex differentiation. However, in fish, these studies are complicated by the fact that these processes depend, perhaps to a larger extent when compared to other vertebrates, on the interplay of genetic and environmental influences. Here, we review the advances made so far, taking into account different experimental approaches, and illustrate some technical complications deriving from the fact that as development progresses it becomes more and more difficult to distinguish whether changes in gene expression or DNA methylation patterns are the cause or the consequence of such developmental events. Finally, we suggest some avenues for further research in both model fish species and fish species facing specific problems within an aquaculture context.