Background Schizophrenia is a complex mental illness with significant sex differences. Cognitive impairment is common in patients with schizophrenia, even in remission. This study was designed to examine the sex differences in the relationship between cognitive impairment and clinical correlations with first-episode drug-naive (FEDN) schizophrenia. Methods 93 FEDN patients (male/female = 45/48) and 160 controls (male/female = 74/86) were enrolled to compare the sex differences in cognitive functions measured by the MATRICS Consensus Cognitive Battery (MCCB). Positive and Negative Syndrome Scale (PANSS) and Hamilton Depression Scale (HAMD) were used to evaluate patients' clinical symptoms. We compared cognitive impairment with sociodemographic characteristics and measures of different genders, as well as group-by-sex interactions. Results Our results showed that male patients had significantly lower scores for symbol coding, digital sequence, and verbal learning than female patients, while the healthy controls showed similar sex differences. In female patients, multiple linear regression analysis confirmed that PANSS negative symptoms and general psychopathology scores, HAMD total score, and education level were independent contributors to MCCB total score. In male patients, only education was an independent contributor to MCCB total score. Conclusions These findings revealed significant sex differences in cognitive impairments and clinical symptoms in FEDN, which will be worthy of a follow-up study of schizophrenia in the future.