Sex differences in aspects of independent versus interdependent self-construal and depressive symptoms were surveyed among 5,320 students from 24 nations. Men were found to perceive themselves as more self-contained whereas women perceived themselves as more connected to others. No significant sex differences were found on two further dimensions of self-construal, or on a measure of depressive symptoms. Multilevel modeling was used to test the ability of a series of predictors derived from a social identity perspective and from evolutionary theory to moderate sex differences. Contrary to most prior studies of personality, sex differences in self-construal were larger in samples from nations scoring lower on the Gender Gap Index, and the Human Development Index. Sex differences were also greater in nations with higher pathogen prevalence, higher self-reported religiosity, and in nations with high reported avoidance of settings with strong norms. The findings are discussed in terms of the interrelatedness of self-construals and the cultural contexts in which they are elicited and the distinctiveness of student samples.