Gender is a socially constructed concept influenced by social practices, norms, and expectations. The impact of gender differences on mental health has been long recognized, with consequences such as over-diagnosis and pathologization or under-diagnosis of some disorders depending on gender. This also has implications for the treatments that each gender receives. In this narrative review, we will analyze (a) the gender differences in the prevalence of mental disorders, (b) the explanations for gender differences in mental health, including biological, social constructionist, and sociocultural risk factors, and (c) the gender differences in the treatment of mental disorders, including differences in health-seeking behavior and treatment outcomes. Overall, there is a consistent pattern of differences in prevalence, with women more likely to have internalizing disorders (e.g., anxiety or depression) and men more likely to have externalizing disorders (e.g., antisocial personality or substance use). The explanations aimed at disentangling the reasons for these gender differences are complex, and several approaches should be considered to achieve a comprehensive explanation. In addition to biological factors (e.g., hormonal changes), social constructionist factors (e.g., biased diagnostic criteria and clinicians’ gender bias) and sociocultural factors (e.g., feminization of poverty, gender discrimination, violence against women, and prescriptive beauty standards) should be considered. Future studies in the field of mental health should consider gender differences and explore the bio-psycho-socio-cultural factors that may underlie these differences.