The Roma population is a European ethnic minority characterized by recent and multiple dispersals and founder effects. After their origin in South Asia around 1,500 years ago, they migrated West. In Europe, they diverged into ethnolinguistically distinct migrant groups that spread across the continent. Previous genetic studies based on genome-wide data and uniparental markers detected Roma founder events and West-Eurasian gene flow. However, to the best of our knowledge, it has not been assessed whether these demographic processes have equally affected both sexes in the population. The present study uses the largest and most comprehensive dataset of complete mitochondrial and Y chromosome Roma sequences to unravel the sex-biased patterns that have shaped their genetic history. The results show that the Roma maternal genetic pool carries a higher lineage diversity from South Asia, as opposed to a single paternal South Asian lineage. Nonetheless, the European gene flow events mainly occurred through the maternal lineages; however, a signal of this gene flow is also traceable in the paternal lineages. We also detect a higher female migration rate among European Roma groups. Altogether, these results suggest that sociocultural factors influenced the emergence of sex-biased genetic patterns at global and local scales in the Roma population through time.