Unfortunately, the first link in the 2011 answer by @johanvdw is now broken and that website no longer contains any records. But Longest Current-Neutral Swims currently shows the top four record holders in this category are women.

Also two closely related long distance cycling records are held by a woman: the distance covered in a year and the time to cycle 100,000 miles (ref: Wikipedia 100,000 miles record etc. Note that the year record set in 1939 by a man (75,065) stood until 2015, when it was broken by another man by 1,011 miles, but then in 2017 Amanda Coker exceeded that record by 10,461 miles, which is a very large margin.

However, I'm not sure that any of this is conclusive as participation in extreme endurance sport is rare due to the sheer amount of time it takes. Currently I would have to say it was plausible that women are better in this area, but far from proven.

Longest Current-Neutral Swims currently shows the top four record holders in this category are women.

Also two closely related long distance cycling records are held by a woman: the distance covered in a year and the time to cycle 100,000 miles (ref: Wikipedia 100,000 miles record etc. Note that the year record set in 1939 by a man (75,065) stood until 2015, when it was broken by another man by 1,011 miles, but then in 2017 Amanda Coker exceeded that record by 10,461 miles, which is a very large margin.

However, I'm not sure that any of this is conclusive as participation in extreme endurance sport is rare due to the sheer amount of time it takes. Currently I would have to say it was plausible that women are better in this area, but far from proven.