The main goal of this paper is to analyse factors that contribute to gender inequality within entrepreneurship. Precisely, the paper explores the social, economic, political, and institutional factors that may influence gender inequality in entrepreneurship, proxied by the data on self-employment rates across the European Union. Precisely, the factors that were tested include the share of women with tertiary education, regulatory environment quality, gender civil liberties, political participation, unemployment rate, corruption and GDP per capita. In doing so, the random effects panel model was used in order to estimate the effects of selected variables on a gender gap in entrepreneurship in a sample of 27 EU countries in the 2002–2022 period, divided into two sub-samples. The results show divergent effects of selected variables on the gender gap in two clusters of new and old EU member states, precisely from the aspect of economic and institutional variables. The research also has policy implications, since in order to create an inclusive entrepreneurial landscape in the European Union, heterogeneity among individual member states needs to be encompassed.