In a report published in the Proceedings of the National Academy of Sciences by Dr. Allan L. Reiss from the Stanford University School of Medicine (see "Who is more likely to enjoy a good joke?"), men automatically expect jokes to be funny while women subject jokes to greater scrutiny to see if they are funny. Thus, women have higher cognitive expectations of themselves in dealing with humor. Dr. Reiss thinks there could be some connection with the higher rates of depression among women.
Even broader, the findings agree with common knowledge that women have higher expectations of themselves in social situations than men. The pressure to meet their high self-expectations can gradually contribution to emotional tiredness and a slow and gradual collapse into depression, if not caught sooner.