Many epidemiological studies suggest that women are at increased risk of developing adult-onset asthma and also suffer from more severe disease than men. These gender differences appear to be the product of biological sex differences as well as sociocultural and environmental differences. The biological sex differences include genetic, pulmonary, and immunological factors. There is compelling evidence that sex hormones are major determinants of at least these biological sex differences. This paper explores the current literature regarding effects of sex hormones on immune function, resident lung cells, and regulation of local processes in the lung to shed light on underlying mechanisms of gender differences in asthma. More research is needed to understand these mechanisms in order to improve treatment of women with asthma.