Abstract Aims The impact of sex in patients with CAD has been widely reported, but little is known about the influence of sex on the risk of new-onset HF in patients with known or suspected CAD. We aimed to examine sex-related differences and new-onset heart failure (HF) risk in patients with known or suspected coronary artery disease (CAD) undergoing vasodilator stress cardiac magnetic resonance (CMR). Methods and results We prospectively evaluated 5899 consecutive HF-free patients submitted to stress CMR for known or suspected CAD. Ischaemic burden (number of segments with stress-induced perfusion deficit) and left ventricular ejection fraction (LVEF) were assessed by CMR. The association between sex and new-onset HF (including outpatient diagnosis or acute HF hospitalization) was evaluated using a Cox proportional hazards regression model adjusted for competing events [death, myocardial infarction (MI), and revascularization]. A total of 2289 (38.8%) patients were women. During a median follow-up of 4.5 years, 610 (10.3%) patients died, 191 (3.2%) suffered an MI, 905 (15.3%) underwent revascularization, and 314 (5.3%) developed new-onset HF. Unadjusted new-onset HF rates were higher in women than in men (1.25 vs. 0.83 per 100 person-years, P = 0.001). After comprehensive multivariate adjustment, women showed an increased risk of new-onset HF (hazard ratio 1.58, 95% confidence interval 1.18–2.10; P = 0.002). We found a sex-differential effect along the continuum of LVEF (P-value for interaction = 0.007). At lower LVEF, there was an increased risk in both sexes. However, compared with men, the risk of new-onset HF was higher in women with LVEF >55%. Conclusion Women with known or suspected CAD are at a higher risk of new-onset HF. Further studies are needed to unravel the mechanisms behind these sex-related differences.