Classified Info - Maybe a good show for you to try would be Negima!
The lead character is male, but pretty much every other protagonist (and there is a lot of them
) is female. It also has similarities to magical girl anime in that magic-based combat makes up a lot of the show.
Negima! might be helpful to you in transitioning from the stuff you're used to liking to magical girl shows. Who knows, maybe while watching Negima! one or more of its female protagonists will 'click' for you, and you'll start to find it easier to directly relate to such characters. Until that click happens, you'll still have Negi himself there to live vicariously through.