Background: The New York Heart Association (NYHA) functional class has extensively been used for risk stratification in patients suspected of heart failure, although its prognostic value differs between sexes and disease entities. Functional exercise capacity might explain the association between NYHA functional class and survival, and can serve as an objective proxy for the subjective nature of the NYHA classification. Therefore, we assessed whether sex-differences in exercise capacity explain the association between NYHA functional class and survival in patients suspected of cardiovascular disease. Methods: Electronic health record data from 7259 patients with cardiovascular symptoms, a documented NYHA functional class and cardiac stress electrocardiogram (ECG), was analysed. Follow-up for all-cause mortality was obtained through linkage with Statistics Netherlands. A sex-stratified mediation analysis was performed to assess to what extent the proportional heart rate and -workload during ECG stress testing explain the association between NYHA functional class and survival. Results: In men, increments in NYHA functional class were related to higher all-cause mortality in a dose-response manner (NYHA II vs III/IV: hazard ratio [HR] 1.59 vs 3.64, referenced to NYHA I), whilst in women those classified as NYHA functional class II and III/IV had a similar higher mortality risk (HR 1.49 vs 1.41). Sex-stratified mediation analysis showed that the association between NYHA and survival was mostly explained by proportional workload during stress ECG (men vs women: 22.9%, 95% CI: 18.9%–27.3% vs 40.3%, 95% CI: 28.5%–68.6%) and less so by proportional heart rate (men vs women: 2.5%, 95% CI: 1.3%–4.3% vs 8.0%, 95% CI: 4.1%–18.1%). Post-hoc analysis showed that NYHA classification explained a minor proportion of the association between proportional workload and all-cause mortality (men vs women: 15.1%, 95% CI: 12.0%–18.3% vs 4.4%, 95% CI: 1.5%–7.4%). Conclusions: This study showed a significant mediation in both sexes on the association between NYHA functional class and all-cause mortality by proportional workload, but the effect explained by NYHA classification on the association between survival and proportional workload is small. This implies that NYHA classification is not a sole representation of a patient’s functional capacity, but might also incude other aspects of the patient’s overall health status.