Both Hape and Melissa & Doug have made anatomically correct body puzzles.
Hape sells boy and girl puzzles separately for around $20.00 each. The children are pre-pubescent and European American. The video below shows a child completing the puzzle. The toys are distributed by Hape but are actually made by a company called Beleduc out of Holland. Beleduc also has a great pregnant mother puzzle that is a little difficult to find.
Melissa & Doug make a magnetic human body play set that includes children of both genders for about 13.00. The children are early adolescents and European American.