According to a paper by Personality Research Organization, entitled "Why Woman Are More Susceptible to Depression," women are much more susceptible to depression and anxiety because of their genes and their hormones. It also indicates that the woman's environment also contributes greatly to the risk of depression. Women who were raised in an abusive environment are especially at risk for depression. Sadly, it is that simple.

The interesting part is that while hormones are indicated to be a source of depression during pregnancy, PMS, and other times, the depression is also linked to a lack of estrogen during other times. For example, the study also shows that during menopause, the amount of estrogen in a woman's system drops and that also increases the risk of depression. The study says it can increase by as much as 39 - 55%.

The idea that women are more susceptible to anxiety and depression is not entirely biochemical in and of itself. The reality is, men experience both conditions as well, but are under-reported. One reason is that men are less likely to go to doctors, especially outside of family practitioners, than women. They will also report not having such feelings or conditions, even on anonymous surveys due to societal conditioning.
As a man who has had lifelong (26 years) panic disorder, depression, and anxiety disorder, along with agoraphobia, I can tell you that we are much less vocal about our conditions. This means that while we may have the same biochemical issues that women do, we go under the radar by not getting help. We are conditioned to be "strong" and "masculine", which often means feelings are not to be discussed. Considering this, depression, anger issues, and anxiety can actually be HIGHER in men than women in reality. We don't talk with each other as women do about our feelings and fears, but keep them inside. We're less likely to get help and more likely to self-medicate. Men are more likely to commit suicide. (Women attempt it more often, but men 'succeed' more often, which implies women are crying for help, men actually want to die). I have a great-great uncle who killed himself by shotgun after years of illness, not wanting to be a burden on his family. (Another male thing: you must protect and support your family. Many who feel they aren't doing this feel emasculated and ashamed.)
For many years, such conditions were seen as weaknesses and mental illnesses and were taboo. While the impact has lessened for women, I feel it's still a huge stigma for men. Admitting such conditions or thoughts means you're not in charge, manly, strong, etc.
Lastly, because 2/3 of reported anxiety/depression cases are female, that means that when drugs or therapies are tried, by default they are being geared to the female majority. Unfortunately, this means that the help may be more geared to a woman's mind, body, or personality than a man's, further creating roadblocks for men getting help. Even the extremely powerful and successful Attacking Anxiety program is clearly from a female perspective and employs mostly females for the group discussions on CD/tape.