It is commonly suggested that a female preponderance in depression is universal and substantial. This review considers that proposition and explanatory factors. The view that depression rates are universally higher in women is challenged with exceptions to the proposition helping clarify candidate explanations. 'Real' and artefactual explanations for any such phenomenon are considered, and the contribution of sex role changes, social factors and biological determinants are overviewed. While artefactual factors make some contribution, it is concluded that there is a higher order biological factor (variably determined neuroticism, 'stress responsiveness' or 'limbic system hyperactivity') that principally contributes to the gender differentiation in some expressions of both depression and anxiety, and reflects the impact of gonadal steroid changes at puberty. Rather than conclude that 'anatomy is destiny' we favour a diathesis stress model, so accounting for differential epidemiological findings. Finally, the impact of gender on response to differing antidepressant therapies is considered briefly.