There is currently an increasing interest for sustainable innovation in our society. The European agendas highlight the role of higher education institutions in the formation and development of innovation competences among students. Our study aimed to contribute to the analysis of the level of achievement of students’ innovation competences by considering two sustainable development goals (SDG) of the 2030 United Nations’ Agenda: Gender Equality (SDG 5) and Quality Education (SDG 4). This article tries to answer how business students perceive their own innovation competences and which innovative competences are best achieved by students, as well as if there are differences in the achievement of these competences depending on the students’ gender. Our results, from a sample of 360 students in the Business Administration and Management Bachelor’s Degree at the Universitat Oberta de Catalunya, confirm the extensive development of innovation competences. Moreover, female students present a high level of preparation for innovation-oriented action. These findings have educational implications for potentiating the innovation competences and environments where females can attain innovation skills.