Background Sex‐specific effectiveness of rivaroxaban ( RIVA ), dabigatran ( DABI ), and warfarin in reducing myocardial infarction ( MI ), heart failure ( HF ), and all‐cause mortality among patients with atrial fibrillation are not known. We assessed sex‐specific associations of RIVA , DABI , or warfarin use with the risk of MI , HF , and all‐cause mortality among patients with atrial fibrillation. Methods and Results Medicare beneficiaries (men: 65 734 [44.8%], women: 81 135 [55.2%]) with atrial fibrillation who initiated oral anticoagulants formed the study cohort. Inpatient admissions for MI , HF , and all‐cause mortality were compared between the 3 drugs separately for men and women using 3‐way propensity‐matched samples. In men, RIVA use was associated with a reduced risk of MI admissions compared with warfarin use (hazard ratio [95% confidence interval ( CI ): 0.59 [0.38–0.91]), with a trend towards reduced risk compared with DABI use (0.67 [0.44–1.01]). In women, there were no significant differences in the risk of MI admissions across all 3 anticoagulants. In both sexes, RIVA use and DABI use were associated with reduced risk of HF admissions (men: RIVA ; 0.75 [0.63–0.89], DABI ; 0.81 [0.69–0.96]) (women: RIVA ; 0.64 [0.56–0.74], DABI ; 0.73 [0.63–0.83]) and all‐cause mortality (men: RIVA ; 0.66 [0.53–0.81], DABI ; 0.75 [0.61–0.93]) (women: RIVA ; 0.76 [0.63–0.91], DABI ; 0.77 [0.64–0.93]) compared with warfarin use. Conclusions RIVA use and DABI use when compared with warfarin use was associated with a reduced risk of HF admissions and all‐cause mortality in both sexes. However, reduced risk of MI admissions noted with RIVA use appears to be limited to men.