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Salicaceae plants are dioecious woody plants. Previous studies have shown that male individuals are more tolerant to water deficiency than females for male-biased poplars. However, Salix paraplesia is a female-biased species in nature. It is still unknown whether female willows are more tolerant to drought stress than males. To better understand the sexually different tolerance to water deficiency in willows, a greenhouse experiment combined with a field investigation was conducted, and physiological traits were tested in male and female S. paraplesia under a drought-stressed condition (50% of soil water capacity). Our field investigation showed that S. paraplesia was a species with female-biased sex ratio along altitude gradients (2,400 m, 2,600 m and 2,800 m) in their natural habitats. Our results showed that the height growth, biomass accumulation, total chlorophyll pigment content (TChl), and the net photosynthetic rate were higher in female willows than in males at the low and middle altitudes (2,400 m and 2,600 m) rather than at a high altitude (2,800 m) under well-watered conditions. Under drought-stressed conditions, the growth, biomass, and photosynthesis were greatly inhibited in both sexes, while females showed higher biomass and TChl content and suffered less negative effects than did males. Particularly, females that originated from a high altitude showed lower leaf relative electrolyte leakage, malondialdehyde content, and less disorder of chloroplast ultrastructures but a higher peroxidase activity (POD) than that of males. Therefore, S. paraplesia females exhibited a better drought tolerance and self-protective ability than males from high altitude. There is a reason to speculate that the population structure of S. paraplesia at a high altitude would be likely to further female biases with the increased drought intensity in the alpine regions.