New Findings: What is the topic of this review? We review sex differences within physiological systems implicated in exercise performance; specifically, how they integrate to determine metabolic thresholds and fatigability. Thereafter, we discuss the implications that these sex differences might have for long-term adaptation to exercise. What advances does it highlight? The review collates evidence from recent physiological studies that have investigated sex as a biological variable, demonstrating that the physiological response to equivalent ‘dosages’ of exercise is not the same in males and females; thus, highlighting the need to research diversity in physiological responses to interventions. Abstract: The anatomical and physiological differences between males and females are thought to determine differences in the limits of human performance. The notion of studying sex as a biological variable has recently been emphasized in the biosciences as a vital step in enhancing human health. In this review, we contend that the effects of biological sex on acute and chronic responses must be studied and accounted for when prescribing aerobic exercise, much like any intervention targeting the optimization of physiological function. Emerging evidence suggests that the response of physiological systems to exercise differs between males and females, potentially mediating the beneficial effects in healthy and clinical populations. We highlight evidence that integrative metabolic thresholds during exercise are influenced by phenotypical sex differences throughout many physiological systems. Furthermore, we discuss evidence that female skeletal muscle is more resistant to fatigue elicited by equivalent dosages of high-intensity exercise. How the different acute responses affect the long-term trainability of males and females is considered, with discussion about tailoring exercise to the characteristics of the individual presented within the context of biological sex. Finally, we highlight the influence of endogenous and exogenous sex hormones on physiological responses to exercise in females. Sex is one of many mediating influences on the outcomes of exercise, and with careful experimental designs, physiologists can advance the collective understanding of diversity in physiology and optimize outcomes for both sexes.