<p>Heart failure with preserved ejection fraction (HFpEF) is the most prevalent form of heart failure and is characterized by high morbidity, limited therapeutic options, and marked biological heterogeneity. Coronary microvascular dysfunction (CMD) has emerged as a central pathophysiological mechanism linking cardiometabolic comorbidities to myocardial remodeling and clinical HFpEF phenotypes. Impaired coronary flow reserve, endothelial dysfunction, reduced nitric oxide bioavailability, and microvascular rarefaction contribute to myocardial stiffening, energetic inefficiency, and ultimately diastolic dysfunction, often preceding overt structural heart disease in the setting of HFpEF. Notably, HFpEF disproportionately affects females, yet the biological mechanisms underlying this sex difference remain incompletely understood. Accumulating evidence suggests that sex-specific differences in vascular biology, immune–metabolic signaling, hormonal regulation, and myocardial–vascular coupling modulate susceptibility to CMD and influence the progression from vascular dysfunction to myocardial disease. Females exhibit a higher prevalence of CMD in the absence of obstructive coronary artery disease, distinct inflammatory and metabolic profiles, and accelerated vascular and ventricular stiffening, particularly after menopause. In contrast, males more frequently display eccentric remodeling and obstructive epicardial coronary disease. This narrative review synthesizes current evidence on the mechanistic role of CMD in HFpEF, with a specific focus on sex-specific biological pathways that shape disease trajectory. Understanding how sex modifies CMD may inform improved diagnostic strategies, risk stratification, and the development of precision-based therapeutic approaches in HFpEF.</p>