Attentional processes play an important role in the processing of emotional information. Previous research reported attentional biases during stimulus processing in anxiety and depression. However, sex differences in the processing of emotional stimuli and higher prevalence rates of anxiety disorders among women, compared to men, suggest that attentional biases may also differ between the two sexes. The present study used a modified version of the dot probe task with happy, angry, and neutral facial stimuli to investigate the time course of attentional biases in healthy volunteers. Moreover, associations of attentional biases with alexithymia were examined on the behavioral and physiological level. Event-related potentials were measured while 21 participants (11 women) performed the task, utilizing also for the first time a difference wave approach in the analysis to highlight emotion-specific aspects. Women showed overall enhanced probe P1 amplitudes compared to men, in particular after rewarding facial stimuli. Under the difference wave approach, probe P1 amplitudes appeared specifically enhanced with regard to congruently presented happy facial stimuli among women, compared to men. Both methods yielded enhanced probe P1 amplitudes after presentation of the emotional stimulus in the left compared to the right visual hemifield. Probe P1 amplitudes correlated negatively with self-reported alexithymia, most of these correlations were only observable in women. Our results suggest that women orient their attention to a greater extent to facial stimuli than men and corroborate that alexithymia is a correlate of reduced emotional reactivity on a neuronal level. We recommend using a difference wave approach when addressing attentional processes of orientation and disengagement also in future studies.