In adult tissues, sexual dimorphism is largely attributed to sex hormone effects, although there is increasing evidence for a major role of sex chromosome dosage. During preimplantation development, male and female embryos can display phenotypic differences that can only be attributed to the transcriptional differences resulting from their different sex chromosome complements. Thus, all expressed Y-linked genes and those X-linked genes that totally or partially escape X-chromosome inactivation at each specific developmental stage display transcriptional sexual dimorphism. Furthermore, these differentially expressed sex chromosome transcripts can regulate the transcription of autosomal genes, leading to a large transcriptional sexual dimorphism. The sex-dependent transcriptional differences may affect several molecular pathways such as glucose metabolism, DNA methylation and epigenetic regulation, and protein metabolism. These molecular differences may have developmental consequences, including sex-selective embryo loss and sex-specific epigenetic responses to environmental hazards, leading to long-term effects. This review discusses transcriptional sexual dimorphism in preimplantation embryos, its consequences on sex ratio biases and on the developmental origin of health and disease, and its significance for transcriptional studies and adult sexual dimorphism.