Given that the sexes often differ in their ecological and sexual selection pressures, sex differences in cognitive properties are likely. While research on sexually dimorphic cognition often focuses on performance, it commonly overlooks how sexes diverge across cognitive domains and in behaviors exhibited during a cognitive task (cognitive style). We tested male and female western mosquitofish (Gambusia affinis) in three cognitive tasks: associative learning (numerical discrimination), cognitive flexibility (detour task), and spatio-temporal learning (shuttlebox). We characterized statistical relationships between cognitive performances and cognitive style during the associative learning task with measures of anxiety, boldness, exploration, reaction time, and activity. We found sex differences in performance, cognitive style, and the relationships between cognitive domains. Females outperformed males in the spatio-temporal learning task, while the sexes performed equally in associate learning and cognitive flexibility assays. Females (but not males) exhibited a 'fast-exploratory' cognitive style during associative learning trials. Meanwhile, only males showed a significant positive relationship between domains (associative learning and cognitive flexibility). We propose that these sexually dimorphic cognitive traits result from strong sexual conflict in this taxon; and emphasize the need to explore suites of sex-specific cognitive traits and broader comparative work examining sexual selection and cognition.