Depression is such a relatively common illness; there is no shame in it. The challenge for many men is to find safe and healthy ways of acting out their inner turmoil. For women, simply expressing their inner turmoil in a safe environment, and finding validation, is often the key. Self-acceptance helps both men and women.
In his latest post Steve Wickham provides a useful starter to a discussion on the difference between depression in men and women. Well worth a look.