It is going to vary a lot depending on what jurisdiction(s) you live in and were born in. It is easiest if you live in the same state you were born in. It gets potentially more complicated if you live in one state and were born in another. And it gets even more complicated if you were born in another country. Each state or country has its own rules.
Each document (example: driver's license) from each different authority (example: state Department of Motor Vehicles) has its own gender marker, each of which likely needs to be changed separately. When people talk about "changing their gender marker", they usually mean changing the gender on their birth certificate. If you were born in a different jurisdiction than where you live now, you will need to contact the authorities where you were born and follow their rules.
So, for instance, I can get my driver's license changed locally (in Canada), following local procedures, but I need to send off to the U.K. for my birth certificate change and follow their rules, since that is where I was born.
So it's a mess. Best to start with some Internet research into the procedures and requirements for the jurisdictions that are relevant to your circumstances.
