We evaluated the sex-specific difference in response upon participation in an exercise program with respect to the risk of adverse clinical outcomes among patients with peripheral artery disease (PAD) and claudication. The records of 400 PAD patients were assessed between 2012 and 2015. Two hundred of them were addressed to a walking program prescribed at the hospital and executed at home at symptom-free walking speed (Ex), while the remaining 200 acted as a control group (Co). The number and date of deaths, all-cause hospitalizations, and amputations for a 7-year period were collected from the regional registry. At baseline, no differences were observed (MEXn = 138; FEXn = 62; MCOn = 149; FCOn = 51). The 7-year survival rate was significantly higher in FEX (90%) than in MEX (82% hazard ratio, HR: 0.542 95% CI 0.331–0.885), FCO (45%, HR: 0.164 95% CI 0.088–0.305), and MCO (44%; HR: 0.157 95% CI 0.096–0.256). A significantly lower rate of hospitalization (p < 0.001) and amputations (p = 0.016) was observed for the Ex group compared to the Co group, without differences by sex. In conclusion, in PAD patients, active participation in a home-based pain-free exercise program was associated with a lower rate of death and better long-term clinical outcomes, particularly among women.