Deep Learning (DL) has the potential to enhance patient outcomes in healthcare by implementing proficient systems for disease detection and diagnosis. However, the complexity and lack of interpretability impede their widespread adoption in critical high-stakes predictions in healthcare. Incorporating uncertainty estimations in DL systems can increase trustworthiness, providing valuable insights into the model’s confidence and improving the explanation of predictions. Additionally, introducing explainability measures, recognized and embraced by healthcare experts, can help address this challenge. In this study, we investigate DL models’ ability to predict sex directly from electroencephalography (EEG) data. While sex prediction have limited direct clinical application, its binary nature makes it a valuable benchmark for optimizing deep learning techniques in EEG data analysis. Furthermore, we explore the use of DL ensembles to improve performance over single models and as an approach to increase interpretability and performance through uncertainty estimation. Lastly, we use a data-driven approach to evaluate the relationship between frequency bands and sex prediction, offering insights into their relative importance. InceptionNetwork, a single DL model, achieved 90.7% accuracy and an AUC of 0.947, and the best-performing ensemble, combining variations of InceptionNetwork and EEGNet, achieved 91.1% accuracy in predicting sex from EEG data using five-fold cross-validation. Uncertainty estimation through deep ensembles led to increased prediction performance, and the models were able to classify sex in all frequency bands, indicating sex-specific features across all bands.