A large body of evidence indicates that women are more likely than men to show unipolar depression. Five classes of explanations for these sex differences are examined and the evidence for each class is reviewed. Not one of these explanations adequately accounts for the magnitude of the sex differences in depression. Finally, a response set explanation for the sex differences in depression is proposed. According to this explanation, men are more likely to engage in distracting behaviors that dampen their mood when depressed, but women are more likely to amplify their moods by ruminating about their depressed states and the possible causes of these states. Regardless of the initial source of a depressive episode (i.e., biological or psychological) men's more active responses to their negative moods may be more adaptive on average than women's less active, more ruminative responses. The epidemiology of a disorder can provide important clues to its etiology. When a disorder only strikes persons from one geographical region, one social class, or one gender, we can ask what characteristics of the vulnerable group might be making its members vulnerable. A frequent finding in epidemiological studies of mental disorders is that women are more prone to unipolar affective disorders than are men (Boyd & Weissman, 1981; Weissman & Klerman, 1977). A number of different explanations have been proposed to account for women's greater vulnerability to depression. Previous reviews of these explanations (e.g., Weissman & Klerman, 1977) have been quite brief and uncritical. In this article, the evidence for sex differences in unipolar depression first is summarized, then the most prominent explanations proposed for these sex differences are discussed in detail. These explanations include those attributing the differences to the response biases of subjects, as well as biological, psychoanalytic, sex role, and learned helplessness explanations. Although most of the proposed explanations for sex differences in depression have received some empirical support, not one of them has been definitively supported and not one as yet accounts for the magnitude of sex differences in depression. In the final section of this article it is suggested that differences in the ways that men and women respond to their own depressive episodes, whatever the origin of these episodes, may be an important source of the sex differences observed in depression.