BACKGROUND Exercise testing is key in the risk stratification of patients with heart failure (HF). There are scarce data on its prognostic power in women. Our aim was to assess the predictive value of the heart transplantation (HTx) thresholds in HF in women and in men. METHODS Prospective evaluation of HF patients who underwent cardiopulmonary exercise testing (CPET) from 2009 to 2018 for the composite endpoint of cardiovascular mortality and urgent HTx. RESULTS A total of 458 patients underwent CPET, with a composite endpoint frequency of 10.5% in females vs. 16.0% in males in 36-month follow-up. Peak VO2 (pVO2), VE/VCO2 slope and percent of predicted pVO2 were independent discriminators of the composite endpoint, particularly in women. The International Society for Heart Lung Transplantation recommended values of pVO2 ≤ 12 mL/kg/min or ≤14 if the patient is intolerant to β-blockers, VE/VCO2 slope > 35, and percent of predicted pVO2 ≤ 50% showed a higher diagnostic effectiveness in women. Specific pVO2, VE/VCO2 slope and percent of predicted pVO2 cut-offs in each sex group presented a higher prognostic power than the recommended thresholds. CONCLUSIONS Individualized sex-specific thresholds may improve patient selection for HTx. More evidence is needed to address sex differences in HF risk stratification.