Although few studies dispute that there are gender differences in depression, the etiology is still unknown. In this review, we cover a number of proposed factors and the evidences for and against these factors that may account for gender differences in depression. These include the possible role of estrogens at puberty, differences in exposure to childhood trauma, differences in stress perception between men and women and the biological differences in stress response. None of these factors seem to explain gender differences in depression. Finally, we do know that when depressed, women show greater hypothalamic-pituitary-adrenal (HPA) axis activation than men and that menopause with loss of estrogens show the greatest HPA axis dysregulation. It may be the constantly changing steroid milieu that contributes to these phenomena and vulnerability to depression.