Over the course of my 44 years on this planet, I have, to my great sorrow, had 4 friends and family members successfully commit suicide. All 4 were women, including my own mother. 2 of them took prescription drug overdoses. 1 of them shot herself in the head. The 4th ran a hose from the exhaust pipe of her pickup truck into the cab.
It is an absolutely horrible thing, and pure hell for the people left behind, especially when it's somebody close to you. In my opinion, it would be far more productive to try to find better ways to help and support all people suffering from severe depression, rather than idly obsess over such stupidity as which gender is "better" at it.