Consistent epidemiological data demonstrate that patients with heart failure with preserved ejection fraction (HFpEF) are more likely to be women than men. Exploring mechanisms behind this sex difference in heart failure epidemiology may enrich the understanding of underlying HFpEF pathophysiology and phenotypes, with the ultimate goal of identifying therapeutic approaches for the broader HFpEF population. In this review we evaluate the influence of sex on the key domains of cardiac structure and function, the systemic and pulmonary circulation, as well as extracardiac factors and comorbidities that may explain the predisposition of women to HFpEF. We highlight the potential role of factors exclusive to or more prevalent in women such as pregnancy, preeclampsia, and iron deficiency. Finally, we discuss existing controversies and gaps in knowledge, as well as the clinical importance of known sex differences in the context of the potential need for sex-specific diagnostic criteria, improved risk stratification models, and targeted therapies.