Women are twice as likely to be affected by unipolar depression as men. In a sample of 137 German college students it is shown that normative sex‐role orientation (SRO) moderates gender differences in subclinical depression, using multivariate analysis of variance. Higher levels of depression in women exist only among those with traditional SRO, while women and men with liberal SRO do not differ in the amount of depressive symptoms. Furthermore, an integrative model to explain the higher amount of depression in women is tested empirically by path analysis. The model shows that gender does not have a direct effect on depression, but rather an indirect one through SRO, stressful life events and locus of control.