Sex differences in patients with established heart failure have been well described, but much less is known in the development of heart failure. We studied sex-specific incidence and risk of new-onset heart failure in 8592 subjects (mean age 49.2 ± 12.7 years; 50.1 % women) of the Prevention of REnal and Vascular ENdstage Disease (PREVEND) study and distinguished reduced and preserved ejection fraction (HFrEF <40 % and HFpEF >50 %). Of 374 cases with incident heart failure, 241 (64.4 %) occurred in men and 133 (35.6 %) in women (median follow-up 12.5 years; 96,550 person-years). Men developed heart failure earlier (7.0 vs. 8.6 years; P < 0.001). Incidence rates per 1,000 person-years in women compared to men were lower for HFrEF (1.2 vs. 3.0 %; P < 0.001), but higher for HFpEF (1.2 vs. 0.7 %; P < 0.001). Women developed HFpEF later in life than HFrEF (75.1 vs. 69.7 years; P = 0.033), while men showed no significant difference (72.2 vs. 69.5 years; P = 0.116). Multivariable competing risks analyses showed that women had lower risk for HFrEF (subhazard ratio = 0.47; 95 % CI 0.29-0.76, P = 0.002) but higher risk for HFpEF (subhazard ratio = 2.16; 95 % CI 1.21-3.83, P = 0.009) than men. Among all risk factors, only atrial fibrillation had a sex-specific predictive value and increased risk specifically for women (P-for interaction = 0.016). In a middle-aged population, men developed heart failure more frequently and at a younger age than women. However, women had higher risk for HFpEF, with atrial fibrillation being a specific female risk factor.