Patients with schizophrenia (SCZ) have cognitive impairments across several domains. Cognition decline is related to the complex interrelationship between brain-derived neurotrophic factor (BDNF) and redox system imbalance. However, the effect of sex on cognitive impairment and biomarkers has not been fully studied in patients with drug-naive first episode (DNFE) SCZ. 327 DNFE SCZ patients and 391 healthy controls were recruited, and the levels of BDNF and malondialdehyde (MDA) and the activities of total SOD, Mn-SOD, CuZn-SOD enzymes were measured. Cognitive function was measured by using the Repeatable Battery for the Assessment of Neuropsychological status (RBANS) and clinical symptoms by the Positive and Negative Syndrome Scale (PANSS). Patients performed worse on most cognitive tasks than controls, but there was no significant sex difference in cognitive function between patients and controls. Further analysis showed that a sex difference in MDA was found in controls rather than patients, indicating that MDA levels in men were higher than those in women in controls. Moreover, the Mn-SOD was significantly correlated with attention, language and RBANS total scores only in male patients. Multiple linear regression analysis showed that the interaction between BDNF and Mn-SOD or SOD was associated with RBANS language index score in male patients. Our results suggest that the interrelationship of BDNF with antioxidant mechanisms may contribute to the pathological mechanisms underlying cognitive deficits only in male DNFE patients with SCZ, but not in female patients.