We explored key proteins involved in fat metabolism that might be associated with peak fat oxidation (PFO) and account for sexual dimorphism in fuel metabolism during exercise. Thirty‐six healthy adults [15 women; 40 ± 11 years of age; peak oxygen consumption 42.5 ± 9.5 ml (kg body mass)–1 min–1; mean ± SD] completed two exercise tests to determine PFO via indirect calorimetry. Resting adipose tissue and/or skeletal muscle biopsies were obtained to determine the adipose tissue protein content of PLIN1, ABHD5 (CGI‐58), LIPE (HSL), PNPLA2 (ATGL), ACSL1, CPT1B and oestrogen receptor α (ERα) and the skeletal muscle protein content of FABP 3 (FABPpm), PNPLA2 (ATGL), ACSL1, CTP1B and ESR1 (ERα). Moderate strength correlations were found between PFO [in milligrams per kilogram of fat‐free mass (FFM) per minute] and the protein content of PNPLA2 (ATGL) [rs = 0.41 (0.03–0.68), P < 0.05] and CPT1B [rs = 0.45 (0.09–0.71), P < 0.05] in skeletal muscle. No other statistically significant bivariate correlations were found consistently. Females had a greater relative PFO than males [7.1 ± 1.9 vs. 4.5 ± 1.3 and 7.3 ± 1.7 vs. 4.8 ± 1.2 mg (kg FFM)–1 min–1 in the adipose tissue (n = 14) and skeletal muscle (n = 12) subgroups, respectively (P < 0.05)]. No statistically significant sex differences were found in the content of these proteins. The regulation of PFO might involve processes relating to intramyocellular triglyceride hydrolysis and mitochondrial fatty acid transport, and adipose tissue is likely to play a more minor role than muscle. Sex differences in fat metabolism are likely to be attributable to factors other than the resting content of proteins in skeletal muscle and adipose tissue relating to triglyceride hydrolysis and fatty acid transport.