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Height
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Male dogs of all breeds are generally taller than their female counterparts. Most purebred standards recognize that fact by having different height expectations for males and females.
Weight
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Even when males are the same height as females, the males tend to be bulkier in build and weigh more. Males typically have a larger and greater bone density, so they look heavier even if they are the same size as females. Males are broad and wider across the hips and chest. They also have a heavier, thicker neck.
Sexual Organs
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The external sexual organs are visibly different between the sexes. The male dog penis extends mid-way down his belly. The female vulva is right under the anus.
Cycles
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A very definite difference in physical characteristics between male and female dogs is the female cycle. There is no distinction between breeds, sizes or anything else with this difference: All female dogs that are not spayed experience heat cycles. A female dog will come into "season" for about two weeks, once every six to eight months. During this time, she will exhibit sexual desire, and have bloody discharge from the vulva.
Health
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The differences between the health of male and female dogs varies within breeds. In some breeds, the female has more of a tendency toward particular diseases. In other breeds, the male is more likely to have physical problems. For instance, male German Shepherd dogs are more likely, in general, to have hip dysplasia problems. Differences may also depend on the type of illness or disease in question. For a real understanding of disease or illness likelihood, it is best to check out the particulars of the breed you desire.
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Physical Difference in Male & Female Puppies
The difference between men and woman govern many actions and emotions, but in puppies several differences between the sexes exist on the surface. Male and female dogs have sexually linked traits that govern certain aspects of their build. The differences are evident even as small puppies. It is important to note, however, that these are only generalities, and there will always be the exceptions to most of the rules.