The anti-tuberculosis vaccine Bacillus Calmette-Guérin (BCG) is a well-known immune modulator that induces nonspecific protective effects against heterologous infections through induction of innate immune memory, also termed “trained immunity.” In randomized trials in low weight newborns, BCG vaccination reduced neonatal mortality due to decreased incidence of sepsis and respiratory infections. In many studies, sex-differential nonspecific effects of vaccines have been observed, but the mechanisms behind these differential effects are unknown. We investigated whether the important sex hormones estrogen and dihydrotestosterone (DHT) influence BCG-induced trained immunity in human primary monocytes. Although addition of estradiol and DHT to BCG inhibited the production of proinflammatory cytokines after direct stimulation of human monocytes, they did not influence the induction of trained immunity by BCG. In addition, estradiol or DHT did not induce training or tolerance in monocytes themselves. We conclude that these important sex hormones are unlikely to explain the sex-differential effects after BCG vaccination. Future studies should focus on the investigation of alternative mechanisms as an explanation for sex-differential nonspecific effects of BCG vaccination.