Although sex differences in several aspects of substance use disorders (SUDs) have been identified, less is known about the importance of possible sex differences in side effects induced by substances of abuse or by medications used to treat SUDs. In the SUD field, the perception of certain subjective effects are actively sought, while all other manifestations might operationally be considered side effects. This article was aimed at reviewing sex differences in side effects induced by alcohol, nicotine, heroin, marijuana and cocaine and by medications approved for alcohol, nicotine and heroin use disorders. A large body of evidence suggests that women are at higher risk of alcohol-induced injury, liver disease, cardiomyopathy, myopathy, brain damages and mortality. The risk of tobacco-induced coronary heart disease, lung disease and health problems is higher for women than for men. Women also experience greater exposure to side effects induced by heroin, marijuana and cocaine. In addition, women appear to be more vulnerable to the side effects induced by medications used to treat SUDs. Patients with SUDs should be advised that the risk of developing health problems may be higher for women than for men after consumption of the same amount of substances of abuse. Doses of medications for SUD women should be adjusted at least according to body weight. The sex differences observed also indicate an urgent need to recruit adequate numbers of female subjects in pre-clinical and clinical studies to improve our knowledge about SUDs in women.