Research on early-life family environment on obsessive-compulsive disorder (OCD) risk is limited, and sex differences have not been sufficiently studied. We investigated early-life family composition and parental socio-economic status (SES) as OCD risk factors while stratifying for sex in a sample of 1,154,067 individuals from the Danish population (7550 of whom had OCD). Data on early-life family composition (birth order, number of siblings, number of parents in household at proband age 6), parental SES at age 6 (parental income, occupation, and education level), history of parental psychiatric illness, and parental age at birth on OCD risk (i.e., an ICD-10 diagnosis of F42.x) were obtained from Danish population registers. Survival analyses using Cox regression were performed with age as the underlying time variable. Analyses were adjusted for calendar time, and differential effect by sex was tested for exposures. We found that birth order and advanced maternal age were risk factors for OCD in males, and being an only child was associated with increased OCD risk in both sexes. Early childhood SES variables including parental education, occupation, and income were associated with OCD risk, and these effects were more pronounced in females. Significant interaction effects for parental education/occupation and the presence of non-OCD psychiatric diagnoses in the proband also emerged. Our results suggest that early-life SES and family composition may be important risk factors for OCD, and heterogeneity in OCD cases in terms of psychiatric comorbidities, as well as sex differences should be carefully examined in relation to risk factors.