The warrior of the wind, Yuri Kamanosuke, is introduced in the third episode, using his own androgyny to his manipulative advantage.
Yuri is first encountered in the disguise of a helpless woman, asking the protagonists for a brief escort across a bridge. The main hero Saizou, though by no means a stereotypical gentleman, is grudgingly coerced to agree, because helping women is supposed to be a man's job.
Once the protagonists' guards are down, Yuri sheds his disguise and attacks. He captures the main heroine to incite Saizou into a battle, meanwhile taunting her for being "a worthless woman who can only depend on a man" to save her. He shows himself to be clearly negative toward females and the very concept of femininity, so it would seem that his disguise was something of a cruel, ironic mockery based on these views.
When Saizou arrives, Yuri is revealed to be an extremely vicious fighter, defining himself by his lust to shed blood, even feeling thrilled to have his own blood shed by Saizou in return. He quickly becomes a far cry from the image of a meek woman whom he impersonated. In the end, however, Saizou bests him and lands a blow that renders Yuri unable to continue the fight. Though Yuri demands to be finished off, Isanami steps in and convinces Saizou to spare him. As he makes up his mind and turns his back, Saizou justifies his actions with the words, "Killing women leaves a bad taste in my mouth."
To be honest, at this point, I hastily jumped to the conclusion that Yuri was in fact a woman who had been pulling off a double disguise: a girl playing a boy playing a girl. There would be a lot to analyze about "her" pointed rejection of femininity being a possible matter of internalized sexism.
...However, this remark was played off as a brusque misgendering, to be received as an insult. Afterwards, Yuri continues to angrily insist that he is a man.
The atmosphere of the whole series, and Yuri in particular, seems to have a stark consciousness of the way gendered roles work (at least in the current era, Japan's samurai era). As the story goes on, he is accepted into the main cast and his interactions with the other characters continue to make an issue of his gender.
intentionally ambiguous presentation going on... but I suppose I'll continue to refer to him as "he"-- even if, in the eighth episode, he is once again mistaken for a girl by the self-proclaimed womanizer Jinpachi Nezu, who ought to be an expert on the subject.
Through their travels together, Yuri is shown to be developing romantic feelings for Saizou. This manifests as a desire to fight him (the tsundere archetype comes to mind) but, in any case, he is clearly more attached to Saizou than anyone else in the group and in constant want of his attention, and he becomes flustered trying to decipher the meaning of these feelings for himself.
This struggle comes to a climax in the eleventh episode, in which an illusionist tries to trap Yuri inside of a false fantasy based upon his heart's apparent desire. This is an extremely interesting and loaded scene, being a rare glimpse inside of the character's mind, a luxury which isn't granted to other characters... and the content of this "mind" sequence offers a lot of hints to consider about how he perceives his own identity.
That said, Yuri's relationship with Saizou continues to have the air of attraction and not merely rivalry. He did not explicitly decide that his feelings were not love; it just seems that his sense of love is unconventional because of his simultaneously sadistic and masochistic personality, two very opposite-gendered traits in themselves. Taking all these factors into account, trying to interpret or reconcile his apparent sexuality with his gender identity remains difficult. There is a clear contrast between his apparent femininity and his lust for violence that can be described as hyper-masculinity. There is no reason a woman cannot be equally violent, but it is tough to figure out what exactly is trying to be portrayed as his story leaves itself open to various interpretations.
Could he be a gay man who actually does not identity with femininity? Could he be a woman after all, who wants some but not all of the things associated with it? Same-sex romantic feelings are not inherently linked to gender identity or to transgender identity, but because "attraction to men" is considered a large part of the social definition of femininity, they often are associated with each other in this kind of media, so I wonder if this is the case. To be honest, I personally resent that gay male characters are portrayed effeminately almost as a rule, not to mention being often linked to negative themes or villainy as a rule at the same time... but these are the facts.
At least, in Yuri's case, there are some interesting nuances to consider about which facets of his role he chooses to accept or reject, and why.