Sex-related gap is robust for depression and is observed for the onset, prevalence, pathophysiology and treatment response of the disease. The gender differences begin as early as by the age of 12. Several factors explain these differences: the biological ones are genetic and epigenetic factors, brain function and neural correlates, hormonal factors, stress response and immune system response; the psychological factors involve affective and cognitive factors; and the sociocultural ones are violence against women, more commonly child sexual abuse, but also partner maltreatment or sexual harassment, and structural gender inequality and patriarchal culture. Women experience periods of higher vulnerability for depression in correlate with hormonal changes, which are: adolescence, peripartum and menopause. The clinical presentation in women is more frequently by suffering “atypical” symptoms, somatizations and very commonly undergo anxiety comorbidities. The differences in pharmacological treatment are not so strong, but there are some differences in pharmacokinetics, pharmacodynamics and in side effects. For psychotherapy, cognitive behavioural treatment has been most empirically demonstrated to be effective on both sexes.