Gender differences in mathematical performance have received considerable scrutiny in the fields of sociology, economics and psychology. We analyse a large data-set of high school graduates who took a standardised mathematical test in Russia in 2011 (n = 738,456) and find no substantial difference in mean test scores across boys and girls. However, boys have a greater variance of scores and are more numerous at the top of the distribution. We apply quantile regression to model the association between school characteristics and gender differences in test scores throughout the distribution of test scores. Male advantage in test scores, particularly at the top of the distribution, is concentrated in cities and in the schools with an advanced curriculum. In other high schools, especially in the countryside, gender differences in all parts of the distribution are small. We suggest several mechanisms based on selection and school effects that account for our findings.