This paper examines gender disparities in university student pathways in Italy, from initial enrolment to completion of a bachelor's degree and enrolment in a subsequent master's programme. While it is established that females generally outperform males in completion rates and final grades, little has been done to analyse retention up to the master's level due to a lack of longitudinal data covering the entire student university careers. We use discrete-time multi-state Markov models to investigate the key factors that influence students' decisions throughout their university careers. Our analysis reveals that factors related to previous high school performance and early academic choices affect the university pathways of male and female students differently. Data regards first-year students enrolled in 3-year programmes at Italian universities between 2008 and 2020.