diff --git a/asv_bench/benchmarks/multiindex_object.py b/asv_bench/benchmarks/multiindex_object.py
index 3b6eaa52ae382..d7c557203b8b8 100644
--- a/asv_bench/benchmarks/multiindex_object.py
+++ b/asv_bench/benchmarks/multiindex_object.py
@@ -276,6 +276,45 @@ def time_operation(self, index_structure, dtype, method):
         getattr(self.left, method)(self.right)
 
 
+class Difference:
+
+    params = [
+        ("datetime", "int", "string", "ea_int"),
+    ]
+    param_names = ["dtype"]
+
+    def setup(self, dtype):
+        N = 10**4 * 2
+        level1 = range(1000)
+
+        level2 = date_range(start="1/1/2000", periods=N // 1000)
+        dates_left = MultiIndex.from_product([level1, level2])
+
+        level2 = range(N // 1000)
+        int_left = MultiIndex.from_product([level1, level2])
+
+        level2 = Series(range(N // 1000), dtype="Int64")
+        level2[0] = NA
+        ea_int_left = MultiIndex.from_product([level1, level2])
+
+        level2 = tm.makeStringIndex(N // 1000).values
+        str_left = MultiIndex.from_product([level1, level2])
+
+        data = {
+            "datetime": dates_left,
+            "int": int_left,
+            "ea_int": ea_int_left,
+            "string": str_left,
+        }
+
+        data = {k: {"left": mi, "right": mi[:5]} for k, mi in data.items()}
+        self.left = data[dtype]["left"]
+        self.right = data[dtype]["right"]
+
+    def time_difference(self, dtype):
+        self.left.difference(self.right)
+
+
 class Unique:
     params = [
         (("Int64", NA), ("int64", 0)),
diff --git a/doc/source/whatsnew/v1.6.0.rst b/doc/source/whatsnew/v1.6.0.rst
index b2eb54659b048..d726f69286469 100644
--- a/doc/source/whatsnew/v1.6.0.rst
+++ b/doc/source/whatsnew/v1.6.0.rst
@@ -135,6 +135,7 @@ Performance improvements
 - Performance improvement in :meth:`MultiIndex.argsort` and :meth:`MultiIndex.sort_values` (:issue:`48406`)
 - Performance improvement in :meth:`MultiIndex.size` (:issue:`48723`)
 - Performance improvement in :meth:`MultiIndex.union` without missing values and without duplicates (:issue:`48505`)
+- Performance improvement in :meth:`MultiIndex.difference` (:issue:`48606`)
 - Performance improvement in :meth:`.DataFrameGroupBy.mean`, :meth:`.SeriesGroupBy.mean`, :meth:`.DataFrameGroupBy.var`, and :meth:`.SeriesGroupBy.var` for extension array dtypes (:issue:`37493`)
 - Performance improvement in :meth:`MultiIndex.isin` when ``level=None`` (:issue:`48622`)
 - Performance improvement for :meth:`Series.value_counts` with nullable dtype (:issue:`48338`)
@@ -210,6 +211,7 @@ Missing
 
 MultiIndex
 ^^^^^^^^^^
+- Bug in :meth:`MultiIndex.difference` losing extension array dtype (:issue:`48606`)
 - Bug in :class:`MultiIndex.set_levels` raising ``IndexError`` when setting empty level (:issue:`48636`)
 - Bug in :meth:`MultiIndex.unique` losing extension array dtype (:issue:`48335`)
 - Bug in :meth:`MultiIndex.intersection` losing extension array (:issue:`48604`)
diff --git a/pandas/core/indexes/base.py b/pandas/core/indexes/base.py
index aaa840ef19650..7dc04474cbcd8 100644
--- a/pandas/core/indexes/base.py
+++ b/pandas/core/indexes/base.py
@@ -3684,7 +3684,12 @@ def _difference(self, other, sort):
         indexer = indexer.take((indexer != -1).nonzero()[0])
 
         label_diff = np.setdiff1d(np.arange(this.size), indexer, assume_unique=True)
-        the_diff = this._values.take(label_diff)
+
+        the_diff: MultiIndex | ArrayLike
+        if isinstance(this, ABCMultiIndex):
+            the_diff = this.take(label_diff)
+        else:
+            the_diff = this._values.take(label_diff)
         the_diff = _maybe_try_sort(the_diff, sort)
 
         return the_diff
diff --git a/pandas/core/indexes/multi.py b/pandas/core/indexes/multi.py
index a399baeacfd6c..26dd957ff4d57 100644
--- a/pandas/core/indexes/multi.py
+++ b/pandas/core/indexes/multi.py
@@ -3746,18 +3746,13 @@ def _wrap_intersection_result(self, other, result) -> MultiIndex:
         _, result_names = self._convert_can_do_setop(other)
         return result.set_names(result_names)
 
-    def _wrap_difference_result(self, other, result) -> MultiIndex:
+    def _wrap_difference_result(self, other, result: MultiIndex) -> MultiIndex:
         _, result_names = self._convert_can_do_setop(other)
 
         if len(result) == 0:
-            return MultiIndex(
-                levels=[[]] * self.nlevels,
-                codes=[[]] * self.nlevels,
-                names=result_names,
-                verify_integrity=False,
-            )
+            return result.remove_unused_levels().set_names(result_names)
         else:
-            return MultiIndex.from_tuples(result, sortorder=0, names=result_names)
+            return result.set_names(result_names)
 
     def _convert_can_do_setop(self, other):
         result_names = self.names
diff --git a/pandas/tests/indexes/multi/test_setops.py b/pandas/tests/indexes/multi/test_setops.py
index 4a5ef3f4b1d5b..718ac407d4a3f 100644
--- a/pandas/tests/indexes/multi/test_setops.py
+++ b/pandas/tests/indexes/multi/test_setops.py
@@ -440,6 +440,27 @@ def test_setops_disallow_true(method):
         getattr(idx1, method)(idx2, sort=True)
 
 
+@pytest.mark.parametrize("val", [pd.NA, 100])
+def test_difference_keep_ea_dtypes(any_numeric_ea_dtype, val):
+    # GH#48606
+    midx = MultiIndex.from_arrays(
+        [Series([1, 2], dtype=any_numeric_ea_dtype), [2, 1]], names=["a", None]
+    )
+    midx2 = MultiIndex.from_arrays(
+        [Series([1, 2, val], dtype=any_numeric_ea_dtype), [1, 1, 3]]
+    )
+    result = midx.difference(midx2)
+    expected = MultiIndex.from_arrays([Series([1], dtype=any_numeric_ea_dtype), [2]])
+    tm.assert_index_equal(result, expected)
+
+    result = midx.difference(midx.sort_values(ascending=False))
+    expected = MultiIndex.from_arrays(
+        [Series([], dtype=any_numeric_ea_dtype), Series([], dtype=int)],
+        names=["a", None],
+    )
+    tm.assert_index_equal(result, expected)
+
+
 @pytest.mark.parametrize("val", [pd.NA, 5])
 def test_symmetric_difference_keeping_ea_dtype(any_numeric_ea_dtype, val):
     # GH#48607