This study investigated the changes in performance and sex difference in performance of the world best triathletes at the ITU (International Triathlon Union) World Triathlon Series (i.e. 1.5 km swimming, 40 km cycling and 10 km running) during the 2009-2012 period including the 2012 London Olympic Games. Changes in overall race times, split times and sex difference in performance of the top ten women and men of each race were analyzed using single and multi-level regression analyses. Swimming and running split times remained unchanged whereas cycling split times (ß = 0.003, P < 0.001) and overall race times (ß = 0.003, P < 0.001) increased significantly for both women and men. The sex difference in performance remained unchanged for swimming and cycling but decreased for running (ß = -0.001, P = 0.001) from 14.9 ± 2.7% to 13.2 ± 2.6% and for overall race time (ß = -0.001, P = 0.006) from 11.9 ± 1.2% to 11.4 ± 1.4%. The sex difference in running (14.3 ± 2.4%) was greater (P < 0.001) compared to swimming (9.1 ± 5.1%) and cycling (9.5 ± 2.7%). These findings suggest that (i) the world's best female short-distance triathletes reduced the gap with male athletes in running and total performance at short distance triathlon with drafting during the 2009-2012 period and (ii) the sex difference in running was greater compared to swimming and cycling. Further studies should investigate the reasons why the sex difference in performance was greater in running compared to swimming and cycling in elite short-distance triathletes.