Sex differences in human cognitive performance are well characterized. However, the neural correlates of these differences remain elusive. This issue may be clarified using nonhuman primates, for which sociocultural influences are minimized. We used the marmoset (Callithrix jacchus) to investigate sex differences in two aspects of executive function: reversal learning and intradimensional/extradimensional (ID/ED) set shifting. Stress reactivity and motor function were also assessed. In agreement with human literature, females needed more trials than males to acquire the reversals. No sex differences in ED set shifting or motivational measures were observed. The findings suggest enhanced habit formation in females, perhaps due to striatal estrogenic effects. Both sexes showed increased urinary cortisol during social separation stressor, but females showed an earlier increase in cortisol and a greater increase in agitated locomotion, possibly indicating enhanced stress reactivity. Independent of sex, basal cortisol predicted cognitive performance. No sex differences were found in motor performance. Associations between brain networks and reversal learning performance were investigated using resting state fMRI. Resting state functional connectivity (rsFC) analyses revealed sex differences in cognitive networks, with differences in overall neural network metrics and specific regions, including the prefrontal cortex, caudate, putamen, and nucleus accumbens. Correlations between cognitive flexibility and neural connectivity indicate that sex differences in cognitive flexibility are related to sex-dependent patterns of resting brain networks. Overall, our findings reveal sex differences in reversal learning, brain networks, and their relationship in the marmoset, positioning this species as an excellent model to investigate the biological basis of cognitive sex differences.