Probably slightly more Democrat but again I think a more interesting would be how fans of each sport vote.
Football - Probably most GOP of professional sports
Baseball - Lean GOP but mixed
Basketball - Probably leans Democrat, players definitely overwhelmingly Democrat for obvious reasons
Hockey - Mixed as appeals more to Republican types but more popular in northern states which are more Democrat than southern.
I'd guess that the MLB has a somewhat more conservative fanbase than the NFL for two reasons. First, the NFL's fanbase is so vast that it encompasses all types of people, while baseball fans are disproportionately white (and sometimes older) or Caribbean Hispanic. The second reason is that college football fans are exceptionally conservative and take some would-be NFL fans who only have the energy to focus on one or the other. I suppose the same could be true about college baseball (try finding a Democrat in the crowd at a SEC baseball game), but it's so much more niche than college football.
From most conservative to least, I'd go:
NASCAR
College baseball
Golf
College football
MLB
NFL
UFC/similar
College basketball
NHL
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Non-Sports fans
Tennis
MLS soccer
NBA
European soccer
WNBA
