Some mental health problems such as depression and anxiety are more common in females, while others such as autism and attention deficit/hyperactivity (AD/H) are more common in males. However, the neurobiological origins of these sex differences are poorly understood. Animal studies have shown substantial sex differences in neuronal and glial cell structure, while human brain imaging studies have shown only small differences, which largely reflect overall body and brain size. Advanced diffusion MRI techniques can be used to examine intracellular, extracellular, and free water signal contributions and provide unique insights into microscopic cellular structure. However, the extent to which sex differences exist in these metrics of subcortical gray matter structures implicated in psychiatric disorders is not known. Here, we show large sex-related differences in microstructure in subcortical regions, including the hippocampus, thalamus, and nucleus accumbens in a large sample of young adults. Unlike conventional T1-weighted structural imaging, large sex differences remained after adjustment for age and brain volume. Further, diffusion metrics in the thalamus and amygdala were associated with depression, anxiety, AD/H, and antisocial personality problems. Diffusion MRI may provide mechanistic insights into the origin of sex differences in behavior and mental health over the life course and help to bridge the gap between findings from experimental, epidemiological, and clinical mental health research.