The present narrative review gathers the studies reported so far, addressing sex differences in the effects of cold exposure, feeding pattern and age on brown adipose tissue (BAT) thermogenesis and white adipose tissue (WAT) browning. In rodents, when exposed to decreasing temperatures, females activate thermogenesis earlier. Results obtained in humans go in the same line, although they do not provide results as solid as those obtained in rodents. Regarding the effects of overfeeding, interesting sex differences on BAT thermogenic capacity have been reported, and the greater or lower sensitivity of each sex to this dietary situation seems to be dependent on the type of feeding. In the case of energy restriction, females are more sensitive than males. In addition, sex differences have also been observed in thermogenesis changes induced by phenolic compound administration. During sexual development, an increase in BAT mass and BAT activity takes place. This phenomenon is greater in boys than in girls, probably due to its relation to muscle-mass growth. The opposite situation takes place during ageing, a lifespan period where thermogenic capacity declines, this being more acute in men than in women. Finally, the vast majority of the studies have reported a higher susceptibility to developing WAT browning amongst females. The scarcity of results highlights the need for further studies devoted to analysing this issue, in order to provide valuable information for a more personalised approach.