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Scientific evidence suggests women experience more severe problems when attempting to quit smoking relative to men. Yet, little work has examined potential explanatory variables that maintain sex differences in clinically relevant smoking processes. Smoking outcome expectancies have demonstrated sex differences and associative relations with the smoking processes and behavior, including problems when attempting to quit, smoking-specific experiential avoidance, perceived barriers to quitting, and smoking abstinence. Thus, expectancies about the consequences of smoking may explain sex differences across these variables. Accordingly, the current study examined the explanatory role of smoking-outcome expectancies (e.g., long-term negative consequences, immediate negative consequences, sensory satisfaction, negative affect reduction, and appetite weight control) in models of sex differences across cessation-related problems, smoking-specific experiential avoidance, perceived barriers to quitting, and smoking abstinence. Participants included 450 (48.4% female; Mage = 37.45, SD = 13.50) treatment-seeking adult smokers. Results indicated that sex had an indirect effect on problems when attempting to quit smoking through immediate negative consequences and negative affect reduction expectancies; on smoking-specific experiential avoidance through long-term negative consequences, immediate negative consequences, and negative affect reduction expectancies; on barriers to quitting through negative affect reduction expectancies; and on abstinence through appetite weight control expectancies. The current findings suggest that sex differences in negative affect reduction expectancies and negative consequences expectancies may serve to maintain maladaptive smoking processes, whereas appetite weight control expectancies may promote short-term abstinence. These findings provide initial evidence for the conceptual role of smoking expectancies as potential “linking variables” for sex differences in smoking variables.