This is a question we often discuss on my training courses. It feels like an uncomfortable stereotype. Of course this isn’t the case for everyone. Employees on my courses tell me that they feel women are more comfortable opening up about their mental health which means they are less likely to turn to unhelpful coping strategies such as abusing drugs and alcohol.
The results are here if you want to have a look yourself.
https://www.mentalhealth.org.uk/publications/fundamental-facts-about-mental-health-2016