Background: Cardiogenic shock (CS) remains the leading cause of ST elevation myocardial infarction (STEMI)-related mortality. Contemporary studies have shown no sex-related differences in mortality. Methods: STEMI-CS patients undergoing primary percutaneous coronary intervention (PPCI) were included based on a dedicated prospective STEMI database. We compared sex-specific differences in CS characteristics at baseline, during hospitalization, and in subsequent clinical outcomes. Endpoints included all-cause mortality and major adverse cardiac events (MACE). Results: Of 3202 consecutive STEMI patients, 210 (6.5%) had CS, of which 63 (30.0%) were women. Women were older than men (73.2 vs. 65.5% y, p < 0.01), and more had hypertension (68.3 vs. 52.8%, p = 0.019) and diabetes (38.7 vs. 24.8%, p = 0.047). Fewer were smokers (13.3 vs. 41.2%, p < 0.01), had previous PCI (9.1 vs. 22.3% p = 0.016), or required IABP (35.3 vs. 51.1% p = 0.027). Women had higher rates of mortality (53.2 vs. 35.3% in-hospital, p = 0.01; 61.3 vs. 41.9% at 1 month, p = 0.01; and 73.8 vs. 52.6% at 3 years, p = 0.05) and MACE (60.6 vs. 41.6% in-hospital, p = 0.032; 66.1 vs. 45.6% at 1 month, p = 0.007; and 62.9 vs. 80.3% at 3 years, p = 0.015). After multivariate adjustment, female sex remained an independent factor for death (HR-2.42 [95% CI 1.014–5.033], p = 0.042) and MACE (HR-1.91 [95% CI 1.217–3.031], p = 0.01). Conclusions: CS complicating STEMI is associated with greater short- and long-term mortality and MACE in women. Sex-focused measures to improve diagnosis and treatment are mandatory for CS patients.