The arrival of agriculture into Europe during the Neolithic transition brought a significant shift in human lifestyle and subsistence. However, the conditions under which the spread of the new culture and technologies occurred are still debated. Similarly, the roles played by women and men during the Neolithic transition are not well understood, probably due to the fact that mitochondrial DNA (mtDNA) and Y chromosome (NRY) data are usually studied independently rather than within the same statistical framework. Here, we applied an integrative approach, using different model-based inferential techniques, to analyse published datasets from contemporary and ancient European populations. By integrating mtDNA and NRY data into the same admixture approach, we show that both males and females underwent the same admixture history and both support the demic diffusion model of Ammerman and Cavalli-Sforza. Similarly, the patterns of genetic diversity found in extant and ancient populations demonstrate that both modern and ancient mtDNA support the demic diffusion model. They also show that population structure and differential growth between farmers and hunter-gatherers are necessary to explain both types of data. However, we also found some differences between male and female markers, suggesting that the female effective population size was larger than that of the males, probably due to different demographic histories. We argue that these differences are most probably related to the various shifts in cultural practices and lifestyles that followed the Neolithic Transition, such as sedentism, the shift from polygyny to monogamy or the increase of patrilocality.