Due to differences in transmission between X-chromosomal and autosomal DNA, the comparison of data derived from both markers allows deeper insight into the forces that shape the patterns of genetic diversity in populations. In this study, we applied this comparative approach to a sample of Portuguese Roma (Gypsies) by analyzing 43 X-chromosomal markers and 53 autosomal markers. Portuguese individuals of non-Gypsy ancestry were also studied. Compared with the host population, reduced levels of diversity on the X chromosome and autosomes were detected in Gypsies; this result was in line with known patterns of genetic diversity typical of Roma groups. As a consequence of the complex demographic past of the Roma, during which admixture and genetic drift played major roles, the amount of linkage disequilibrium (LD) on the X chromosome in Gypsies was considerably higher than that observed in non-Gypsies. When the pattern of differentiation on the X chromosome was compared with that of autosomes, there was evidence for asymmetries in female and male effective population sizes during the admixture between Roma and non-Roma. This result supplements previous data provided by mtDNA and the Y chromosome, underlining the importance of using combined information from the X chromosome and autosomes to dissect patterns of genetic diversity. Following the out-of-India dispersion, the Roma acquired a complex genetic pattern that was influenced by drift and introgression with surrounding populations, with important contributions from both males and females. We provide evidence that a sex-biased admixture with Europeans is probably associated with the founding of the Portuguese Gypsies.