They’re taught. Training starts from babies in how adults relate to them. There’s _some_ differences due to levels of estrogen and testosterone in the body that TEND to also include genitals that match the predominant hormone levels.
But not always.
It’s both nature and nurture. I suspect a baby injected with the right levels of testosterone on the right schedule and trained as a boy would become a boy, even if they were a girl, and visa versa. THANKFULLY, that’s not allowed.
They used to chop off boy’s parts when they were uncertain. Well THAT didn’t work. So, there’s probably some genetic ‘pull’ in there as well, beyond the hormone levels and the cultural indoctrinations.