Empathy is the ability to understand and share other people’s emotions. Researchers have debated whether Westerners and Asians differ in their self-report empathy. In this study, scores on two self-report questionnaires of empathy, namely, the Empathy Quotient (EQ) and the Interpersonal Reactivity Index (IRI), were compared between 196 Australian Caucasian (101 males) and 211 Mainland Chinese (59 males) university students. In addition, the interaction between culture and sex on empathy and mediators of cross-cultural differences in empathy were examined. Results indicated that cross-cultural differences in empathy scores were significant for females but not for males (i.e., Australian females had higher self-report empathy than Chinese females). Moreover, mediation analyses based on the two female groups revealed that their differences in empathy could be explained in part by Australian females were with more independent self-construal and had lower empathy-related personal distress than Mainland Chinese females. Findings of this study add new insight to Western-Asian cross-cultural differences in empathy. Specifically, it is suggested that cross-cultural differences in empathy are dependent on the sex of the individual, and for women, the differences relate to empathy-related social and personality characteristics.