Biology
Women experience several major biological changes in their lives -
Puberty, pregnancy, postpartum and menopause.
We also go through a hormonal upheaval every month during menstruation.
Researchers have suggested that changes in levels of hormones such as estrogen and progesterone appear to have a strong link to depression in women.
Girls entering puberty are twice as prone to depression as boys.
PMS and depression share some characteristics: irritability, appetite change, listlessness, crying jags. Although it is uncertain weather they are linked or if PMS is a type of depression.
Researchers have found that a history of severe menstrual pain, and having the first menstrual period before the age of 10, greatly increases the risk of depression.  A family history of early menopause carried nearly twice the likelihood of experiencing depression, and irregular menstrual cycles were associated with more than double the risk.
The use of birth control pills, which work by altering levels of hormones, has also been associated with depression.
Depression during  pregnancy  is rare and postpartum depression, is in most cases short-term
compared to other types of depression.
Menopause can, but not often does put women at a greater risk for depression.
Research  by the State University of New York at Buffalo, found gender differences in several functions of the norepinephrine and serotonin neurotransmitter systems, in activities of dopamine and acetylcholine, and in certain operations of the hypothalamic-pituitary-adrenal system. These findings suggest that vulnerability to depression, as well as its actual expression, might be related to short- and long-term effects of gonadal hormones.
The brain chemical serotonin, which helps regulate moods, is produced in men at a much higher rate than in women, a new study shows. Researchers found that serotonin is produced in a man's brain at a rate 52 percent higher than in a woman's brain.

Abuse
Now, Im not saying that men are not abused, but the numbers of woman abused (or recorded abuse) is higher (1 in 3 for females, 1 in 7 for males). Rape and physical, emotional or sexual abuse may predispose somone towards depression or make it worse.  Feelings of low self-esteem,  helplessness, hopelessness and self-blame are brought on by  any form of abuse.  Studies show that women molested as children are more likely to have clinical depression at some time in their lives than those with no such history. In addition, there appears to be higher incidence of depression among women who were raped as adults.
Anyone who is the victim of  abuse should consider themselves at a higher risk of depression.

Social Status
Due to social conditioning, and the role of women in todays society, many women have a lower sense self-worth. 
Women still do most of the housework and child-rearing, and are also expected to work, they are caught between the need to contribute in a male orientated workforce and the need to be a 'good wife and mother'.  In the workplace woman still recieve lower pay and discrimination in hiring and promotion. At home, the very hard job of housekepper and mother is not recognised for what it is. It is no wonder many woman have a distorted self image.
In childhood, girls are usually more closely watched and protected than boys, making them less likely to develop an sense of independence and self.
The pressure on woman to be perfect is a large factor in low self esteem, noone can be perfect, and it is harder when women are expected to be barbie doll beautiful, tall, slim, intelligent but submissive, hard working but 'feminine', sexual but not openily so, etc, etc, etc.

Poverty
Not nesseciarily a womans issue, but poverty brings with it many stresses,  isolation, uncertainty, frequent negative events, and poor access to helpful resources. It is known that depressive feelings and demoralization are common among the poor, the deprived, and those lacking social supports, but it is not clear whether depression itself is more common  among victims povery. In fact, one very large study has shown that these illnesses tend to equally effect the poor and the rich.
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