Sex differences in personality have been shown to be larger in more gender equal countries. We advance this research by using an extensive personality measure, the IPIP-NEO-120, with large country samples (N > 1000), from 22 countries. Furthermore, to capture the multidimensionality of personality we measure sex differences with a multivariate effect size (Mahalanobis distance D). Results indicate that past research, using univariate measures of effect size, have underestimated the size of between-country sex differences in personality. Confirming past research, there was a strong correlation (r = .69) between a country's sex differences in personality and their Gender Equality Index. Additional analyses showed that women typically score higher than men on all five trait factors (Neuroticism, Extraversion, Openness, Agreeableness and Conscientiousness), and that these relative differences are larger in more gender equal countries. We speculate that as gender equality increases both men and women gravitate towards their traditional gender roles.