Sexually dimorphic plumage coloration is widespread in birds in which the male plumage is brighter than the female. This phenomenon is related to the environmental constraints on sexual selection or intraspecific competition between males and females in birds. The physiological factors and genetic regulation mechanism affecting the color of sexual dimorphism plumages in birds have always attracted significant attention in research. Understanding the diversity of sexually dimorphic traits provides insights into the mating strategies of the sexes and their behavior, ecology, and evolution. Interestingly, the ASIP, MC1R, TYRP1, and BCO2 genes have been identified to play a potential role in the coloration of melanin and carotenoids in bird sexual dimorphism plumages, either by controlling the rate and type of melanin or carotene synthesis or degradation by exerting an effect on the pigment biosynthetic pathway. In this review, we systematically summarize the biological significance, the direct causes (chemical and physical color), and the influence of sex hormones in sexually dimorphic plumage coloration. We also investigate the molecular mechanism underlying the roles of some genes on sexual dimorphism coloration, thereby providing a reference for in-depth understanding on the formation mechanism(s) of sexual dimorphic coloration in birds.