Women experience greater longevity than men, but have poorer health, although sex differences vary across health measures and geographical regions. We aim to examine sex differences in Activities of Daily Living (ADL) and Instrumental Activities of Daily Living (IADL) over age across European regions in a cross-sectional setting including 51,292 men and 62,007 women aged 50+ from a pooled sample of waves 1 (2004–2005) to 6 (2015) in the Survey of Health, Ageing and Retirement in Europe. ADL and IADL were dichotomised into no limitations and at least one limitation. Binomial regression models were used to estimate absolute and relative sex differences. Women had higher risk than men of ADL limitations (RR = 1.21, 95% CI 1.16; 1.27) and IADL limitations (RR = 1.54, 95% CI 1.48; 1.60), corresponding to risk differences of 1.3% and 5.7%, respectively. When we stratified by age groups and regions, sex differences in ADL were found in all age groups in Southern Europe, in the age groups 65–79 years and 80+ years in Western and Eastern Europe, and from the age of 80 in Northern Europe. For IADL, sex differences were found in all age groups in the four European regions, except from ages 50–64 in Eastern Europe. The absolute sex differences increased with age in all European regions. In conclusion, our results lend support for the male–female health survival paradox by showing that European women have higher risk of ADL and IADL limitations than European men and that sex differences increase with advancing age.