The phenotype of an individual is the result of complex interactions between genotype and current, past and ancestral environment leading to a lifelong remodelling of our epigenomes. The vast majority of common diseases, including atherosclerosis, diabetes, osteoporosis, asthma, neuropsychological and autoimmune diseases, which often take root in early development, display some degree of sex bias, very marked in some cases. This bias could be explained by the role of sex chromosomes, the different regulatory pathways underlying sexual development of most organs and finally, lifelong fluctuating impact of sex hormones. A substantial proportion of dimorphic genes expression might be under the control of sex-specific epigenetic marks. Environmental factors such as social behaviour, nutrition or chemical compounds can influence, in a gender-related manner, these flexible epigenetic marks during particular spatiotemporal windows of life. Thus, finely tuned developmental program aspects, for each sex, may be more sensitive to specific environmental challenges, particularly during developmental programming and gametogenesis, but also throughout the individual's life under the influence of sex steroid hormones and/or sex chromosomes. An unfavourable programming could thus lead to various defects and different susceptibility to diseases between males and females. Recent studies suggest that this epigenetic programming could be sometimes transmitted to subsequent generations in a sex-specific manner and lead to transgenerational effects (TGEs). This review summarizes the current understanding in the field of epigenetic programming and highlights the importance of studying both sexes in epidemiological protocols or dietary interventions both in humans and in experimental animal models.