This study investigated sex differences in Fe status, and associations between Fe status and endurance and musculoskeletal outcomes, in military training. In total, 2277 British Army trainees (581 women) participated. Fe markers and endurance performance (2·4 km run) were measured at the start (week 1) and end (week 13) of training. Whole-body areal body mineral density (aBMD) and markers of bone metabolism were measured at week 1. Injuries during training were recorded. Training decreased Hb in men and women (mean change (–0·1 (95 % CI –0·2, –0·0) and –0·7 (95 % CI –0·9, –0·6) g/dl, both P < 0·001) but more so in women (P < 0·001). Ferritin decreased in men and women (–27 (95 % CI –28, –23) and –5 (95 % CI –8, –1) µg/l, both P ≤ 0·001) but more so in men (P < 0·001). Soluble transferrin receptor increased in men and women (2·9 (95 % CI 2·3, 3·6) and 3·8 (95 % CI 2·7, 4·9) nmol/l, both P < 0·001), with no difference between sexes (P = 0·872). Erythrocyte distribution width increased in men (0·3 (95 % CI 0·2, 0·4)%, P < 0·001) but not in women (0·1 (95 % CI –0·1, 0·2)%, P = 0·956). Mean corpuscular volume decreased in men (–1·5 (95 % CI –1·8, –1·1) fL, P < 0·001) but not in women (0·4 (95 % CI –0·4, 1·3) fL, P = 0·087). Lower ferritin was associated with slower 2·4 km run time (P = 0·018), sustaining a lower limb overuse injury (P = 0·048), lower aBMD (P = 0·021) and higher beta C-telopeptide cross-links of type 1 collagen and procollagen type 1 N-terminal propeptide (both P < 0·001) controlling for sex. Improving Fe stores before training may protect Hb in women and improve endurance and protect against injury.