I once attended a meeting where a psychologist said that they thought females were more often depressed. The reasoning was along the lines that the stuff life throws at you (losing your job, your sweetheart leaves you for another) is roughly the same for everyone, but females must deal with a number of hormonal changes in addition (monthly period, pregnancy and the menopause later in life).
On the other hand, I have also seen research saying that for middle aged and older people, females seem to be happier, especially after a breakup or death of the spouse. The reason here was that females had more friends and were better at keeping on living, while the males tended to have nobody else and were more isolated.
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