The coronavirus disease that emerged in 2019 (COVID-19) spotlights the need for effective leadership in a crisis. Leadership research in applied psychology suggests that women tend to be preferred over men as leaders during uncertain times. We contribute to this literature by examining, in the context of COVID-19, whether states with women governors had fewer deaths than states with men governors, and why. We tested this research question with publicly available data on COVID-19 deaths in the United States as of May 5, 2020 and found that states with women governors had fewer COVID-19 deaths compared to states with men governors. Governor sex also interacted with early stay-at-home orders; states with women governors who issued these orders early had fewer deaths compared to states with men governors who did the same. To provide insight into psychological mechanisms of this relationship, we conducted a qualitative analysis of governor briefings that took place between April 1, 2020 and May 5, 2020 (251 briefings, 38 governors, 1.2 million words). Compared to men, women governors expressed more empathy and confidence in their briefings. Practical implications are discussed. (PsycInfo Database Record (c) 2020 APA, all rights reserved)