Physical inactivity (PI) represents a significant, modifiable risk factor that is more frequent and severe in the female population worldwide for all age groups. The physical activity (PA) gender gap begins early in life and leads to considerable short-term and long-term adverse effects on health outcomes, especially cardiovascular (CV) health. Our review aims to highlight the prevalence and mechanisms of PI across women’s lifespan, describing the beneficial effects of PA in many physiological and pathological clinical scenarios and underlining the need for more awareness and global commitment to promote strategies to bridge the PA gender gap and limit PI in current and future female generations.