Major depression is more common in women than men, but the reasons for this difference have not been completely understood. We examine recent evidence investigating whether sex differences in exposure or response to stressful life events play an explanatory role in the sex differences found in onset of depression. We also explore the possibility that sexual dimorphism in depressive prevalence and response to events is related to sex differences in cognitive style. We conclude that differences between women and men in response to stressful life events and cognitive style are relevant to understanding sex differences in the onset of depression.