For some time now, psycholinguistic research has involved the study of sex differences in language development. Overall, girls seem to have an early advantage over boys, mainly in regard to vocabulary, which appears to decrease and, eventually, vanish with age. While there are numerous studies on sex differences in the acquisition of vocabulary as well as grammar, early sex differences in phonological short-term memory (PSTM) have been mostly neglected, or if research was conducted, it resulted in null findings, for the most part. In the present study, we examined sex differences in language competence (in a wide array of linguistic domains) of German children 4 years of age. Several tests were administered to assess articulation, vocabulary, grammar, speech comprehension, and, most importantly, PSTM (by means of the repetition of non-words and sentences). Girls performed better than boys in all domains, although some effect sizes were small. Most importantly, we found evidence for a female advantage in PSTM performance. Furthermore, mediation analyses revealed that the obtained sex differences in articulation, vocabulary, grammar, and comprehension were partially or fully mediated by (sex differences in) PSTM.