This article offers a theoretical framework based on evolutionary thinking designed to clarify relationships between social stress and mental illness, including the origin of gender differences in vulnerability to stress. From a Darwinian perspective, stress is an interference with evolved behavioral strategies. Human behavior is organized around the pursuit of biological goals, and any social event that interferes with these evolved strategic goals may constitute a stressor. The response to such interference -- the stress response -- is made up of physiological, psychological and behavioral components. These components determine how individuals deal with those social events that were likely to reduce inclusive fitness in the ancestral environment. Evolved gender differences in commitment to goals play a role in determining individual differences in response to stressors. When a social stressor interferes with achieving a biological goal, its harmful impact will depend primarily on the importance of the goal to an individual, and the importance assigned to different goals by an individual does not depend exclusively on personal variables and cultural values. Two evolutionary theories are relevant to gender differences in vulnerability to social stress: sexual selection theory and life history theory. Clinical data from patients suffering from depression triggered by social stress are reviewed to test predictions derived from these theories.