Women report more psychological distress than men, which may be related to both biological sex and socio-cultural gender. We tested whether associations between gender and distress differ for women and men. The cross-sectional sample consisted of 678 Dutch people (54% women). Gender roles were assessed as masculinity and femininity. A composite gender norm score was calculated by summing gendered sociodemographics. Multivariate regressions examined sex, gender, and their interaction for depressive symptoms, anxiety, and perceived stress, additionally adjusted. Women reported more psychological distress. People scoring higher on masculine gender roles, but not feminine gender roles, reported lower psychological distress. A higher gender norm score was related to more depressive symptoms and perceived stress. This association was only present in men and was explained by health-related covariates. This research shows that there is a need to further elaborate on the discrepancies between sex and gender in health psychology research to better understand individual differences.