Sex differences in brain volume are well established across ages however, limited research has investigated if sex differences in brain structure associate with early cognitive outcomes. Moreover, associations among sex, brain structure, and cognition in individuals with prenatal alcohol exposure (PAE), the most common known cause of developmental delay in North America, are unclear. Here, we investigated associations between executive function (measured by the BRIEF or BRIEF-P Global Executive Composite (GEC) and the Statue subtest of the NEPSY-II) and volumes of 36 gray matter regions in a longitudinal MRI sample of 169 young children (NPAE=37; 534 total scans) aged 2–8 years. We found significant three-way interactions between sex, alcohol exposure, and executive function in 22 regions for GEC and 6 regions for Statue. Unexposed males showed negative executive function-volume associations, whereas males with PAE showed opposite associations. Unexposed females showed strong positive executive function-volume associations whereas females with PAE showed weak positive associations. We also evaluated reduced models in regions without significant 3-way interactions and found significant two-way interactions of sex and executive function for the GEC in three regions, and for the Statue in 22 regions. Males showed a negative executive function-volume relationship whereas females showed a positive relationship, regardless of exposure status. Our results suggest that males with PAE and unexposed females show relatively more mature volume-executive function relationships than females with PAE and unexposed males. This study highlights the importance of considering sex in investigations of brain and cognition, especially in populations with PAE.