Sex differences in conscious emotional processing represent a well-known phenomenon. The present event-related potential (ERP) study examined sex differences in the automatic change detection of facial expressions, as indexed by the visual mismatch negativity (vMMN). As paid volunteers, 19 females and 19 males were presented peripherally with a passive emotional oddball sequence in a happy-neutral context and a fearful-neutral context while they performed a visual detection task in the center of the visual field. Both females and males showed comparable accuracy rates and reaction times in the primary detection task. Females relative to males showed a larger P1 for all facial expressions, as well as a more negative N170 and a less positive P2 for deviants vs. standards. During the early stage (100–200 ms), females displayed more negative vMMN responses to both happy and neutral faces than males over the occipito-temporal and fronto-central regions. During the late stage (250–350 ms), females relative to males exhibited more negative vMMN responses to both happy and neutral faces over the fronto-central and right occipito-temporal regions, but only more negative vMMN responses to happy faces over the left occipito-temporal region. In contrast, no sex differences were found for vMMN responses in the fearful-neutral context. These findings indicated a female advantage dynamically in the automatic neural processing of facial expressions during a happy-neutral context.