Problems I can see so far:
Muscles are way too pronounced on the male. They almost seem separated from his body, and, now that I think of it actually look like breast implants.
Little to no foreshortening on the sprites' left side of the face; this makes the face seem to be facing front, while the head almost seems like a side view, judging by the way the jawline is pronounced, and perhaps the way the head is attached to the neck. The forehead seems to bulge unnaturally, which only heightens the effect.
The proportions of the male and female face are near identical, which doesn't make sense really, and I could easily mistake one for another.
Noses don't really strike me as anime; while I can tell you're not going for a modern look (where the bridge of the nose isn't drawn), anime noses are usually smaller than this, and the nostrils are usually not drawn or very small.
Your palette is just mainly straight ramps from light to dark, which makes for a boring skintone among other things. And considering the style you're going for, a cel-shaded approach might look interesting, and perhaps fitting.
One last tip; don't be afraid to use reference for what you're doing.