Male sex is a major risk factor for SARS-CoV-2 infection severity. To understand the basis for this sex difference, we studied SARS-CoV-2 infection in a young adult cohort of United States Marine recruits. Among 2,641 male and 244 female unvaccinated and seronegative recruits studied longitudinally, SARS-CoV-2 infections occurred in 1,033 males and 137 females. We identified sex differences in symptoms, viral load, blood transcriptome, RNA splicing, and proteomic signatures. Females had higher pre-infection expression of antiviral interferon-stimulated gene (ISG) programs. Causal mediation analysis implicated ISG differences in number of symptoms, levels of ISGs, and differential splicing of CD45 lymphocyte phosphatase during infection. Our results indicate that the antiviral innate immunity set point causally contributes to sex differences in response to SARS-CoV-2 infection. A record of this paper's transparent peer review process is included in the supplemental information.