Sex differences in cognition and their underlying brain mechanisms have attracted increasing attention. Brain electrical activity (EEG) represents a reliable, high-temporal resolution approach to assessing the neural correlates of ongoing cognitive activity. The aim of the present work was to provide a comprehensive review of the literature regarding sex differences in brain electrical activity during cognitive processing, and their potential relation to behavioral performance. The cognitive domains addressed are perception, attention, language, visuospatial reasoning, and the executive functions. Overall, the literature reviewed shows sex differences in brain electrical activity during cognitive processing. Differences were observed in such EEG characteristics as hemispheric specialization, scalp topography, amplitudes of event-related potential components, temporal dynamics, and connectivity patterns. While these between-sex differences varied across the cognitive domains analyzed, there were consistent results for visuospatial reasoning and language. Regarding the relationships between behavioral manifestations of cognitive functions and underlying brain dynamics, further research is required to draw reasonable conclusions, since many of the EEG studies reviewed did not assess behavioral differences. Future research must contemplate several confounding factors, such as the precise characteristics of the experimental tasks employed, the phases of the menstrual cycle, individual traits, subjective stimuli saliency, and the interaction of brain development with educational and sociocultural factors. Despite these concerns, the present review contributes to supporting a broad debate that aims to optimize cognitive and behavioral abilities in order to improve teaching strategies and learning skills and thus expand the potentialities of each sex.