The frailty sex paradox has recently gained attention. At all ages, females are more likely to be frail and show a more severe phenotype but have a higher survival rate compared to males. The main aim was to test sex-specific differences in frailty syndrome using a multimodal evaluation from clinical and imaging data to deepen the understanding of different underlying mechanisms involved in the two sexes, and thus understand the association with different risk factors. Ninety-six community-dwelling older adults were characterized by clinical underpinnings (Fried’s frailty indicators: comorbidity, depression, global cognitive level, physical activity, autonomy), and neural integrity (T1-weighted brain 3T MRI). The frailty × sex interaction in clinical and neural profiles was tested. Additionally, frailty risk factors were identified in the two sexes separately. Results showed that fragility was associated with an increment of depressive symptomatology in females, while a decrement in physical activity was observed already in the pre-frail stage in males. Finally, different risk factors were observed in the two groups: significant frailty predictors were neural integrity and physical activity in males, and age and depression in females. These data support the starting hypothesis of at least partially different mechanisms involved in the frailty phenotype between men and women.