Background: Sex is frequently underestimated as a prognostic biomarker in cancer. In this study, we evaluated a large cohort of patients and public datasets to determine the influence of sex on clinical outcomes, mutational status, and activation of immune pathways in different types of cancer. Methods: A cohort of 13,619 Oncosalud-affiliated patients bearing sex-unrelated cancers was followed over a 20-year period. Hazard ratios (HRs) for death were estimated for female vs. male patients for each cancer type and then pooled in a meta-analysis to obtain an overall HR. In addition, the mutational status of the main actionable genes in melanoma (MEL), colorectal cancer (CRC), and lung cancer was compared between sexes. Finally, a gene set enrichment analysis (GSEA) of publicly available data was conducted, to assess differences in immune processes between sexes in MEL, gastric adenocarcinoma (GC), head and neck cancer (HNC), colon cancer (CC), liver cancer (LC), pancreatic cancer (PC), thyroid cancer (TC), and clear renal cell carcinoma (CCRCC). Results: Overall, women had a decreased risk of death (HR = 0.73, CI95: 8%–42%), with improved overall survival (OS) in HNC, leukemia, lung cancer, lymphoma, MEL, multiple myeloma (MM), and non-melanoma skin cancer. Regarding the analysis of actionable mutations, only differences in EGFR alterations were observed (27.7% for men vs. 34.4% for women, p = 0.035). The number of differentially activated immune processes was higher in women with HNC, LC, CC, GC, MEL, PC, and TC and included cellular processes, responses to different stimuli, immune system development, immune response activation, multiorganism processes, and localization of immune cells. Only in CCRCC was a higher activation of immune pathways observed in men. Conclusions: The study shows an improved survival rate, increased activation of immune system pathways, and an enrichment of EGFR alterations in female patients of our cohort. Enhancement of the immune response in female cancer patients is a phenomenon that should be further explored to improve the efficacy of immunotherapy.