Female-specific repression of male-specific-lethal-2 (msl2) mRNA in Drosophila melanogaster provides a paradigm for coordinated control of gene expression by RNA-binding complexes. Repression is orchestrated by Sex-lethal (SXL), which binds to the 5' and 3' untranslated regions (UTRs) of the mRNA and inhibits splicing in the nucleus and subsequent translation in the cytoplasm. Here we show that SXL ensures msl2 silencing by yet a third mechanism that involves inhibition of nucleocytoplasmic transport of msl2 mRNA. To identify SXL cofactors in msl2 regulation, we devised a two-step purification method termed GRAB (GST pull-down and RNA affinity binding) and identified Held-Out-Wings (HOW) as a component of the msl2 5' UTR-associated complex. HOW directly interacts with SXL and binds to two sequence elements in the msl2 5' UTR. Depletion of HOW reduces the capacity of SXL to repress the expression of msl2 reporters without affecting SXL-mediated regulation of splicing or translation. Instead, HOW is required for SXL to retain msl2 transcripts in the nucleus. Cooperation with SXL confers a sex-specific role to HOW. Our results uncover a novel function of SXL in nuclear mRNA retention and identify HOW as a mediator of this function.