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We assessed sex differences in a sample of first-admission psychiatric inpatients with and without comorbid substance use disorder (SUD) to identify possible risk factors and targets for sex-tailored treatment interventions.A retrospective study of first admissions to the University Psychiatry Ward, “Maggiore della Carità” Hospital, Novara, Italy, between 2003 and 2012 was accomplished. The clinical charts of patients with (N = 362) and without comorbid SUD (N = 1111) were reviewed.Differences in employment, educational, and marital statuses were found between male and female psychiatric patients with and without comorbid SUD. Having a degree was a protective factor for males, whereas it was a risk factor for females. Being divorced and having family problems were both risk factors for comorbidity in females. Regarding the diagnosis, results overlapped in males and females, and both affective and other disorders were risk factors for a comorbid SUD.A significant difference between male and female psychiatric patients with a comorbid SUD was the males' overall poorer psychosocial functioning. Marital status and family problems were risk factors for comorbid SUD in females. Both males and females showed various pathways of access to and choices of substances and, eventually, experienced different impacts on their lives. Hospitalization might help to set up a targeted intervention for patients with comorbidity, while accounting for sex differences. With respect to males, a treatment approach focused on the substance alone might help improve their functioning; females might have a greater benefit from a treatment approach focused on distress, family problems, and relational issues.