There is a subtle difference between gender and gender identity. I think the reason people often confuse them is because that label in particular is a bit of a misnomer, in my opinion. I believe gender identity relates to sex, not gender and although "sex identity" doesn't sound very nice, I think it would be technically a more accurate term, etymologically speaking at least, in describing the issue I personally am dealing with.
I always felt like I was a girl, not like I wanted to act like one. Yes, I wanted to be seen as a girl and treated as such, but the egg came before the chicken in this case. Whatever mechanism in my brain that controls gender identity was screaming out "YOU'RE A GIRL!!!" and anything that reminded me that my reality didn't match that notion made me feel horrible, to the point that I eventually was forced to remove those things from my life in order to stay sane. Ironically, I think I would be a lot more comfortable participating in typically masculine activities if I had been born with a girl's body. That inner voice just got so mad and fed up with my male reality that over time it finally just flat rejected masculine activities.
I am honestly hoping, after I make it through this transition, that one day I'll be able to revisit certain things and find enjoyment in them once again. Especially things I used to be good at, like certain sports, for instance. It's fun to be good at things, after all, isn't it?
One thing I have realized going through this transition is the changes I've made in my life related to roles and expression, i.e. gender, have barely scratched the surface of my dysphoria when compared to how dramatically the changes I've made related to my body and the chemicals therein, i.e. sex, have.
So the short version of my answer is, while I think they often correlate, I don't think masculine/feminine proclivities are directly connected with male/female gender identities. A "boy" you may see happily playing with boy toys may indeed still be thinking he's really a girl.