Pain perception varies widely among individuals due to the varying degrees of biological, psychological, and social factors. Notably, sex differences in pain sensitivity have been consistently observed in various experimental and clinical investigations. However, the neuropsychological mechanism underlying sex differences in pain sensitivity remains unclear. To address this issue, we quantified pain sensitivity (i.e., pain threshold and tolerance) using the cold pressure test and negative emotions (i.e., pain-related fear, pain-related anxiety, trait anxiety, and depression) using well-established questionnaires and collected magnetic resonance imaging (MRI) data (i.e., high-resolution T1 structural images and resting-state functional images) from 450 healthy subjects. We observed that, as compared to males, females exhibited lower pain threshold and tolerance. Notably, sex differences in pain sensitivity were mediated by pain-related fear and anxiety. Specifically, pain-related fear and anxiety were the complementary mediators of the relationship between sex and pain threshold, and they were the indirect-only mediators of the relationship between sex and pain tolerance. Besides, structural MRI data revealed that the amygdala subnuclei (i.e., the lateral and basal nuclei in the left hemisphere) volumes were the complementary mediators of the relationship between sex and pain-related fear, which further influenced pain sensitivity. Altogether, our results provided a comprehensive picture of how negative emotions (especially pain-related negative emotions) and related brain structures (especially the amygdala) contribute to sex differences in pain sensitivity. These results deepen our understanding of the neuropsychological underpinnings of sex differences in pain sensitivity, which is important to tailor a personalized method for treating pain according to sex and the level of pain-related negative emotions for patients with painful conditions.