It's a fairly recent association. In fact, at least in art, red used to be the colour for men, Jesus in particular, and blue the colour of women, Mary in particular.

This is the best text I could find on the topic doing only a quick search.

It's a modern thing. Basically it's all just commercialization. https://en.m.wikipedia.org/wiki/Gendered_associations_of_pink_and_blue

I know someone who did a research on color preferences in very very young kids. Girls loved pink from the very beginning. Boys prefered yellow at first and later moved to the traditional blue or green. I see several ways to interpret the data. Could be that girls tend to like pink naturally and boys start to like blue as they inzernalize the stereotype, or girls internalize it much sooner, or it's something else. It's interesting non the less. Also, obviously, daltonics have completely different color preferences. It's fun.

https://www.smithsonianmag.com/history/unraveling-the-colorful-history-of-why-girls-wear-pink-and-boys-wear-blue-1370097/

It's basically because gender rules and sexism were being pushed onto children at an ever younger age.

There's noting natural or eternal about it, it reflects prevailing biases in society.

I read that the paintings "pinkie" and "the blue boy" were famous at the time when mass consumer products started being commercialized, thus the association.