As a consequence of sexual selection, males and females may exhibit wide behavioural differences, for example, spatial behaviour. In fish, the two sexes often show different exploratory tendencies. This sex difference has been usually studied by testing individual fish. As many fish species live in social groups with different sex composition, the aforementioned approach might not picture the natural variation of the exploratory behaviour expressed by males and females. Here, we observed shoals of four Mediterranean killifish, Aphanius fasciatus, with three different sex compositions (4 females, 4 males, or 2 females and 2 males) during the exploration of a novel environment. Sex composition of the shoals did not predict the latency to emerge from a shelter into the novel environment. However, once emerged, shoals composed by four males displayed reduced exploratory behaviour compared to 4-female and mixed-sex shoals. These results indicated that sex differences in exploration subsist also at group level and highlighted the importance of sex composition in determining the behaviour of the entire shoal.