The objectives of this study were to examine sex differences in depressive symptom patterns in 475 sib pairs with well‐defined recurrent major depression and to test the hypotheses that (a) symptom patterns show higher intraclass correlations within same sex sib pairs versus mixed sex sib pairs; and (b) symptoms more associated with women, e.g. atypical depressive and anxiety symptoms, account for differences between male and female siblings within the same family. A total of 878 individuals, with a past history of at least two depressive episodes, were interviewed using the Schedules for Clinical Assessment in Neuropsychiatry interview and diagnosed according to DSM‐IV using a computerized scoring program (CATEGO5). Intraclass correlations were compared between mixed and same sex sibs, and a conditional regression analysis in mixed sex sib pairs was performed to test whether specific symptoms account for differences between male and female siblings within the same family. Women showed a significantly earlier onset of depression compared with men (23.0 years, SD=10.6 versus 25.5, SD=12.5 years, P=0.0004), and a significantly greater frequency of several aspects of depressed mood was found in women compared with men, including atypical depressive features of fatiguability, appetite gain, weight gain and hypersomnia. Discordant sib‐pair data analyses revealed five symptoms that accounted for the sex differences between siblings (P=.000035): phobia (exp(B)=2.04, P=0.017), hypersomnia (exp(B)=1.37, P=0.055), appetite loss (exp(B)=1.38, P=0.004) and appetite gain (exp(B)=2.19, P<0.001). Sex significantly modifies clinical features of depression and an earlier onset of depression and atypical depressive symptoms occur more frequently in women. Depression and Anxiety 0:1–8, 2007. © 2007 Wiley‐Liss, Inc.