Since the two eutherian sex chromosomes diverged from an ancestral autosomal pair, the X has remained relatively gene-rich, while the Y has lost most of its genes through the accumulation of deleterious mutations in nonrecombining regions. Presently, it is unclear what is distinctive about genes that remain on the Y chromosome, when the sex chromosomes acquired their unique evolutionary rates, and whether X-Y gene divergence paralleled that of paralogs located on autosomes. To tackle these questions, here we juxtaposed the evolution of X and Y homologous genes (gametologs) in eutherian mammals with their autosomal orthologs in marsupial and monotreme mammals. We discovered that genes on the X and Y acquired distinct evolutionary rates immediately following the suppression of recombination between the two sex chromosomes. The Y-linked genes evolved at higher rates, while the X-linked genes maintained the lower evolutionary rates of the ancestral autosomal genes. These distinct rates have been maintained throughout the evolution of X and Y. Specifically, in humans, most X gametologs and, curiously, also most Y gametologs evolved under stronger purifying selection than similarly aged autosomal paralogs. Finally, after evaluating the current experimental data from the literature, we concluded that unique mRNA/protein expression patterns and functions acquired by Y (versus X) gametologs likely contributed to their retention. Our results also suggest that either the boundary between sex chromosome strata 3 and 4 should be shifted or that stratum 3 should be divided into two strata.