It's not a subject I really know anything about, so take my opinion with a pinch of salt.
My first line of reasoning is a cultural one. From a young age boys are taught to supress their emotions, men (in general) don't talk about their thoughts and feelings like women do with their friends. Outbursts of emotion can be met with derision and scorn.
When you bottle things up in that way, it's going to find an outlet sooner or later, and most likely a (self) destructive one.
I think due to this whole: "Real men don't cry" kind of garbage that boys are taught, they're less likely to seek help when feeling depressed, they probably view their feelings as 'unmanly'.
A woman is more likely to seek help and advice from friends if she is despressed or emotionally distraught, so likely gets the help she needs much earlier.
All of the above is broad generalisations, I know, and I'm aware that not all men are emotionally repressed he-men and likewise, not all women are as open about psychological problems, but it was the first conclusion I jumped to when reading the OP. As I said, not a subject I know a great deal about.