Acute myocardial infarction-associated cardiogenic shock (AMICS) remains a condition with high mortality. Some patients require mechanical circulatory support (MCS) as their condition deteriorates. Sex-specific differences in risk factors and outcomes of cardiovascular disease have previously been described but are inconclusive regarding the use of MCS in AMICS. We aimed to investigate these with a focus on long-term outcomes. Health claim data from AOK – Die Gesundheitskasse (local health care funds) for patients hospitalized with AMICS between January 1, 2014, and December 31, 2015, was descriptively analyzed. Then, a Cox proportional hazards model was used to adjust for confounders. We analyzed 10,023 patients, of which 477 (4.8%) were treated with veno-arterial extra-corporeal membrane oxygenation (V-A ECMO). In-hospital mortality was high, but similar between treatments (V-A ECMO 59.1%, no V-A ECMO 56.6%). Women had a higher median age (78.9 years, IQR 13.8 vs. 71.8 years, IQR 17.9; p < 0.001), a different cardiovascular risk profile and in the conservatively treated patients underwent revascularization less often (69.2% vs. 77.1%; p < 0.001) than men did. In a multivariate analysis, female sex was not associated with lower survival (HR 1.03, CI 0.98–1.09; p = 0.233). V-A ECMO, however, was associated with lower survival in both sexes. We observed a low overall survival in follow-up after three years (no V-A ECMO: men 28.9% vs. women 21.7%, V-A ECMO: men 18.2% vs. women 17.0%). In conclusion, women with AMICS presented with a different risk profile, especially a higher age, and underwent guideline-recommended therapies such as revascularization less often than men. Female sex, however, was not associated with lower survival in a multivariate analysis. In-hospital mortality was high, regardless of treatment, and V-A ECMO was associated with lower survival in follow-up.