Using five waves of PISA data spanning the period 2003-2015 and exploiting variation both across- and within-countries, we find that the positive association between the female-male gender gap in math test scores (which on average favors boys) and alternative measures of gender equality vanishes in OECD countries once we account for country fixed effects. Our findings highlight the relevance of country-level confounding factors when relying on cross-country analyses to study the relationship between the gender gap in math and female empowerment. Interestingly, our analysis for non-OECD countries uncovers a positive and statistically significant relationship between the math gender gap and female labor force participation. Similar results hold for the female-male gap in reading scores, which generally favors girls. This suggests that, in non-OECD countries, females' human capital accumulation (relative to that of males) is affected by their labor market prospects.