Both impaired insight and cognitive deficits in schizophrenia are core features of this disorder. Previous studies have demonstrated the complex relationships between neurocognition and cognitive insight, as well as the contribution of neurocognition in explaining cognitive insight. However, there is lack of research regarding the influences of sex on the relation of neurocognition and cognitive insight. The present study sought to elucidate sex differences in cognitive insight and neurocognition in schizophrenia. Seventy three outpatients (male = 39) with DSM-IV diagnosis of schizophrenia or schizoaffective disorder were enrolled in the cross-sectional study. The participants were assessed with cognitive insight using the Beck Cognitive Insight Scale, executive functions using the Wisconsin Card Sorting Test, sustained attention using the Conner's Continuous Performance Test (Second Edition), and intelligence using the Wechsler Adult Intelligence Scale—Third version, respectively. Sex differences in demographic and clinical variables were small; nevertheless, female patients had significantly later age of illness onset and higher levels of formal education than males (p < 0.05). Poor cognitive insight was attributed to impairment in performance of executive function and sustained attention. Results from hierarchical regression analyses indicated sex as a moderator only in the association between cognitive insight and executive function. Our findings support an association between poor cognitive insight and neurocognitive impairment in outpatients with schizophrenia and suggest that the relationship may be sex-specific. This study highlights potential targets for effective intervention and rehabilitation in improving patients' insight toward mental illness.