When you are depressed you ruminate over and over again about something (you are too fat, too thin, people do not like you, your heart may stop, your brain may be struck by aneurysm and so on). When your teenagers are out late you may be worried that something bad happens to them, when your parents are ill you may be worried about how they manage without your help. The latter worries are more linked to current reality. Depression is more frequent in women or women are more inclined to seek help for feeling depressed than men, who may be more inclined to self-medication with alcohol. Irrational worries, e.g. phobias for different animals belong to anxiety disorders. Here you have one of my paper testing women for anxiety and depression:
BTW, Do you know any paper that describe a special situation for stress like crime, accident, job, etc which distinguishes difference between male and female?