Memory formation can be influenced by sleep and sex hormones in both men and women, and by the menstrual cycle in women. Though many studies have shown that sleep benefits the consolidation of memories, it is not clear whether this effect differs between men and women in general or according to menstrual phase in women. The present study investigated the effect of sex and menstrual cycle on memory consolidation of face-name associations (FNA) following a daytime nap. Recognition memory was tested using a face-name paired associates task with a polysomnographic nap between morning and evening testing. Seventeen healthy women (age: 20.75 (1.98) years) were studied at two time points of their menstrual cycles, defined from self-report and separated by 2 weeks (perimenses: −5 days to +6 days from the start of menses, and non-perimenses: outside of the perimenses phase), and compared with eighteen healthy men (age: 22.01 (2.91) years). Regardless of menstrual phase, women had better pre-nap performance than men. Further, menstrual phase affected post-nap memory consolidation, with women showing greater forgetting in their perimenses phase compared with their non-perimenses phase and men. Interestingly, post-nap performance correlated with electrophysiological events during sleep (slow oscillations, spindles, and temporal coupling between the two), however, these correlations differed according to menstrual phase and sex. Men’s performance improvement was associated with the temporal coupling of spindles and slow oscillations (i.e., spindle/SO coincidence) as well as spindles. Women, however, showed an association with slow oscillations during non-perimenses, whereas when they were in their perimenses phase of their cycle, women appeared to show an association only with sleep spindle events for consolidation. These findings add to the growing literature demonstrating sex and menstrual phase effects on memory formation during sleep.