Based on a conceptual model of reading engagement, this paper seeks to use the three facets of reading engagement (i.e. enjoyment of reading, diversity in reading, and employment of metacognitive reading strategies) to uncover the underlying mediational processes or mechanisms in the explanation of gender differences in reading literacy performance of 15-year-old students in Macao. The reading engagement mediational effects at the “between-school” and “between-student within-school” levels are analyzed by Hierarchical Linear Modeling (HLM), paying due attention to the multi-level nature of the PISA 2009 data. Research results show that there are five variables pertaining to the afore-mentioned three facets of reading engagement are able to mediate the “between-student within-school” effect of gender on student literacy performance. Amongst these five there are two variables to mediate the “between-school” effect of gender on student reading literacy performance. The research implication clear: By devising gender-inclusive reading instruction intervention programs with a bearing on the three facets of reading engagement and due attention paid to gender peer effects during group engagement in reading activities teachers can help raise student reading literacy performance of both gender, and simultaneously narrow the gender gap in reading literacy performance. The significance of this study is that gender gap in reading literacy performance is no longer a perennial issue cannot be curbed within student daily life and classroom settings. The findings contribute to a debate about the “nature-nurture” issue of gender gap in reading literacy favoring females found around the world today and in the past century.