In this study, we investigated female and male students' sense of belonging and their academic performance measured by the Force Concept Inventory (FCI) and course grades in a calculus-based introductory physics course at a large public university in the United States. We find that compared to male students, female students' sense of belonging was lower on average, and this gender gap persisted from the beginning to the end of the course. Moreover, both women's and men's sense of belonging decreased after the course. We also find that while there was no gender difference in students' Scholastic Aptitude Test (SAT) math scores and female students had a higher average high school grade point average (GPA) than male students, female students had lower average FCI scores and course grades than male students. Using structural equation modeling, we find that students' sense of belonging statistically significantly predicts their FCI scores and course grades after controlling for SAT math scores and high school GPA. Our findings suggest that physics instructors should be intentional about creating an inclusive and equitable learning environment in which students from all demographic groups have a high sense of belonging and can excel.