Pairwise learning has recently received increasing attention since it subsumes many important machine learning tasks (e.g. AUC maximization and metric learning) into a unifying framework. In this paper, we give the first-ever-known stability and generalization analysis of stochastic gradient descent (SGD) for pairwise learning with non-smooth loss functions, which are widely used (e.g. Ranking SVM with the hinge loss). We introduce a novel decomposition in its stability analysis to decouple the pairwisely dependent random variables, and derive generalization bounds consistent with pointwise learning. Furthermore, we apply our stability analysis to develop differentially private SGD for pairwise learning, for which our utility bounds match with the state-of-the-art output perturbation method (Huai et al., 2020) with smooth losses. Finally, we illustrate the results using specific examples of AUC maximization and similarity metric learning. As a byproduct, we provide an affirmative solution to an open question on the advantage of the nuclear-norm constraint over Frobenius norm constraint in similarity metric learning.