Given that women have to bear an utter majority of the workload summarized as "care work", anything from raising children over household chores to caring for elderly relatives, on top of female-specific health issues like painful periods or endometriosis (10% of women [1], and that is before under-diagnosis or late diagnosis comes into play [2]), it makes sense that a lot of women end up with depression-related symptoms. Other societal factors that increase load on women (like the drug crisis, absent fathers, rampant sexism and misogyny in society, the recent barrage of threats to womens' lives and reproductive health) also come as an additional risk factor.
Additionally, as women have entered the work force over the last decades for a number of reasons, it also makes sense they now have rising rates of work-related mental health issues like burnout and depression.
And what also must not be forgotten is a severe under-diagnosis for mental health in men. Barely half the men that self-report symptoms of depression or other mental health issues actually seek out help [3], my personal guess is that this is to a large degree because the historic image of "male-ness" outright ignores mental health issues and labels men that seek help for these as "weak", which has been shown for PTSD in var veterans. Women have it "easier" from social expectations, which may help to hide the fact that, were men equally invested in their mental health, they'd end up at the same ratio of depression!
1 in 4 American adult women take anti-depressant drugs. Do they all have major depressive disorder?