Background: In Spain, as in many countries, women report poorer general health and more daily activity limitations due to health reasons when compared with men. This study aims to examine whether these poorer indicators are due to a greater prevalence of health problems and to identify the types of problems that contribute most to gender inequalities. Methods: Cross-sectional study on the population aged >15 years and residing in Spain, with data from the 2006 National Health Survey (n = 29 139). The sex prevalence ratios (PR) of poor self-rated health and chronic limitation of activity are sequentially adjusted by age and the presence of 27 chronic conditions by means of robust Poisson regression. Results: At equal number of disorders, women reported equal or even better health than men. The excess of poor health in women (age-adjusted PR and 95% CI: self-rated health = 1.36, 1.29–1.41; chronic limitation = 1.25, 1.18–1.32) disappeared when adjusting for the number of chronic diseases (self-rated health = 1.00, 0.96–1.04; chronic limitation = 0.90, 0.85–0.96). Musculoskeletal, mental and other pain disorders accounted for most of the association. The results were consistent in different strata of age, social class, and type of country of birth. Conclusion: These results suggest that the poorer self-rated health of women is a reflection of the higher burden of disease they suffer. A health system responsive to gender inequalities should increase its efforts in addressing and resolving musculoskeletal, mental and other pain disorders, usually less considered in favour of disorders with greater impact on mortality.