The immense bulk of the sociological evidence is clear. In virtually every institution, being a woman affords one less options and less access.
From the wage gap (which is real, no matter what fraudulent statistical controls people like to attempt, and present in virtually every OECD country) to the second shift to the underrepresentation of women at the highest echelons of almost every political and economic institution (Fortune 500 CEOs, the US Senate, the US House of Representatives, senior partners in law firms in the vast majority of countries, venture capital representation, etc.) to the pink-collar job trajectory, women face quantifiable discrimination.
This combined with micro-aggressions and daily discrimination that the majority of women routinely claim they experience, and generally patriarchal and sexist values, give women, on average, a worse time.
It is crucial to note that this is an average. Race, class and socio-economic status, political power, ethnicity, geography, sexual orientation, able-bodied status, and a host of other variables have to be taken into account.
Let us consider a common counter-argument: Men in the military or police. In most countries in the Western/industrialized world, the likelihood that a man will be forced to serve in a military, policing or intelligence capacity is near nil. The men that enter those fields choose it, partially because they get a psychic reward in terms of confirmation of patriarchal masculinity and being given a hero's narrative. The fact that these fields are an OPTION gives men by definition more latitude and power: They could NOT serve, but some do, and that gives access to several resources that a comparable woman of the same socio-economic status, race, etc. will have infeiror access to. Meanwhile, women are underrepresented in the military and police of many Western/industrialized societies due to a variety of factors, from outright legalized sexism and discrimination to organizational culture to sexist values in the broader culture.