Background: Sex differences between psychotic depression (PD) and non-psychotic depression (NPD) have received little systematic study. This study was conducted to investigate sex difference in patients with psychotic and non-psychotic major depressive disorder in a Chinese Han population. Methods: In this cross-sectional study, a total of 1718 first-episode and drug-naive outpatients with major depressive disorder were recruited. Demographic and clinical characteristics were collected. All subjects were rated on the Hamilton Depression Rating Scale (HAMD), Hamilton Anxiety Rating Scale (HAMA) and the Positive and Negative Syndrome Scale (PANSS). Results: The prevalence of PD in female patients (10.97%) was higher than that in male patients (7.99%). Analysis of variance (ANOVA) showed that female patients were older compared with male patients in NPD group, but there were no significant differences in demographic and clinical variables between female and male PD patients. Further, there were no sex differences in the scores of HAMD, HAMA and positive symptom subscale of PANSS in both PD and NPD groups. Two-way ANOVA showed that PD patients had significantly higher scores on the HAMD, HAMA and positive symptom subscale of PANSS than non-PD patients. However, there were no significant effects of sex and sex* subtypes. Limitations: The main limitations are cross-sectional design and inability to control selection bias. Conclusions: Our findings show significant differences in clinical profiles between PD and NPD patients; however, no sex difference has been observed in the either PD or NPD patients.