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Introduction: Lung cancer is the leading cause of cancer-related death and the second most often diagnosed malignancy worldwide. Males have higher incidence of lung cancer and higher mortality. It is hypothesized that the sex differences in survival are primarily driven by a better response of females to treatment. The primary objective of this work is to analyze and describe outcome differences between males and females diagnosed with having lung cancer. Methods: Data were obtained from a large hybrid academic-community practice institution and validated with Surveillance, Epidemiology, and End Results (SEER). The initial cohort included patients aged more than or equal to 18 years diagnosed with having primary malignant lung cancer. Patients were excluded from the analysis if they had an unknown diagnosis date, were missing sex, or had prior history of cancer. Chi-square, t test, and Kruskal-Wallis tests were used to compare characteristics of males and females. Risks were estimated by logistic and Cox regressions. Results: A total of 8909 patients from our institution and 725,018 in SEER were analyzed. Male-to-female ratio was 1.0. Females were more likely to undergo surgery and less likely to be treated with immunotherapy. Females had higher rates of documented psychological affections, depression, anxiety, urinary tract infection, hypothyroidism, and hyperthyroidism, while displaying lower rates of acute kidney injury, myocardial infarction, and myocarditis. Paired multivariable models revealed a lower risk of death for females in SEER (hazard ratio for females = 0.84, confidence interval: 0.69–1.02, p = 0.08) and equal risks in our institution (hazard ratio for females = 0.84, confidence interval: 0.69–1.02, p = 0.08). Conclusions: Female sex was associated with higher surgical rates, lower immunotherapy use rates, higher rates of endocrinologic complications after immunotherapy use, and higher rates of psychological disorders.