Many studies report a female predominance in the prevalence of chronic musculoskeletal pain (CMP) but the mechanisms explaining these sex differences are poorly understood. Data from a random postal questionnaire survey in the Dutch general population were used to examine whether sex differences in the prevalences of CMP are due to sex differences in the distribution of known potential risk factors for CMP (exposure model) and/or to the different importance of risk factors for CMP (i.e. show different strength of association) in men and women (vulnerability model). In the present analyses, 909 men and 1178 women aged 25-65 were included. CMP was defined as pain lasting longer than 3 months and was assessed for 10 anatomical locations (neck, shoulder, higher back, elbow, wrist/hand, lower back, hip, knee, ankle, foot). Sex differences in CMP could not be explained by a different distribution of age, educational level, smoking status, overweight, physical activity, and pain catastrophizing. Having no paid job was associated with CMP, explaining part of the sex differences, but its role seems complex. Risk factors with a sex-specific association were: overweight (all pain locations) and older age (lower extremities) - both having only an effect among women - and pain catastrophizing (upper extremities), which was stronger associated with CMP among men than among women. In conclusion, sex differences in prevalence of CMP may partly be explained by sex differences in vulnerability to risk factors for CMP. Future research towards sex-specific identification of risk factors for CMP is warranted. Eventually this may lead to sex-specific prevention and management of CMP.