Despite the invaluable efficacy of statins, adherence to therapy is extremely poor in clinical practice. Improvement interventions should be as personalized as possible, but it is necessary to know factors that most influence adherence, and sex seems to be a key determinant. Thus, we aimed at exploring potential areas of sex-differences in statin adherence in a real-world population. For this purpose, we assessed adherence (as proportion of days covered) on a wide cohort of new statin users aged >40 years, and we evaluated its association with several covariates through sex-stratified log-binomial regression models. In addition, to compare also the benefits of optimal statin adherence in primary prevention of cardiovascular disease between men and women, we implemented sex-stratified Cox proportional hazard models. Our study showed that women are more likely to stop or be less adherent to statin treatment than men. Moreover, we observed significant sex-differences on effect size of several factors associated with adherence that should be taken into consideration for the management of patients. Finally, we observed no significant difference between men and women regarding statin efficacy in terms of reduction of incident hospitalization for ischemic heart disease and/or non-haemorrhagic cerebrovascular disease. These results invoke the responsibility of physicians to a prompt and personalized intervention. Physicians should consider routine screening for non-adherence in their clinical practice, target patients at higher risk of non-adherence, and improved motivation and communication.