Objectives: We aimed to assess sex differences in benefits from cardiac rehabilitation and the impact of comorbidities. Methods: We analyzed 3239 individuals with cardiovascular diseases (81.2% males) who participated in a three-week cardiac rehabilitation program at Bad Schallerbach center (Upper Austria). Training success was measured by maximal oxygen consumption (VO₂ max). Sex-specific differences in baseline characteristics were assessed using t-tests/chi² tests. Associations between covariates and the outcome were evaluated with baseline-adjusted univariate analysis of variance/linear regression models. Covariates significant at α = 0.05 were included in a multivariable linear regression model, which was refined by backward selection based on the best Akaike information criterion. The final model was used to test the relationship between sex and the outcome. Results: The mean age and BMI were 63.9 years and 27.5 kg/m² for males and 67.2 years and 27.4 kg/m² for females. Males had higher baseline VO₂ max compared to females (26.18 mL/min/kg vs. 23.55 mL/min/kg, p < 0.001), and a greater change in VO₂ max after rehabilitation was seen in males compared to females (3.64 mL/min/kg vs. 2.77 mL/min/kg, p < 0.001). Female sex was associated with a 1.4-point-lower change in VO₂ max after adjustment for comorbidities, sex, and training intensity (β coefficients = −1.409; CI 95% −0.410, −0.104; p < 0.001). Heart valve surgery (β coefficients = −0.90; CI 95% −1.444, −0.366; p < 0.001) and diabetes mellitus (β coefficients = −1.207; CI 95% −1.926, −0.488; p < 0.0001) were associated with lower changes in VO₂ max in both sexes. Conclusions: Our findings suggest that females and individuals with specific comorbidities benefit less from cardiac rehabilitation and support the creation of personalized rehabilitation programs.