Envy is a Homunculus, a being created through alchemy that can shapeshift. Envy often takes on the appearance of a young man with short, blonde hair, but this is simply a form they choose to take. They are not inherently male or female.
In the anime adaptation, Envy's true form is shown to be much more androgynous, with a body that doesn't conform to traditional gender norms. This emphasizes that Envy's identity is fluid and not bound by human categories.