Women’s mental health is commonly regarded as worse than that of men across most cultures and countries, although the pronounced female disparity for affective disorders, particularly depression and anxiety, is reversed for other mental conditions such as addiction, alcoholism, or autism. Here we probe this puzzle within a life-history adaptationist framework, focusing on the high prevalence of mood disorders among women with the goal to evaluate their adaptive rather than pathological qualities. First, we characterize gender disparities in mental health, particularly mood disorders among women, and review their phenomenology. Then we survey known risks for mood disorder on cultural, ecological, experiential, and physical/physiological dimensions. Next we consider adaptationist explanations for depression, and map women’s life history in non-industrial societies, plotting resources, demands, and selection pressures. Thence we turn to how life-course selection pressures and female adaptive responses to them operate and intersect, illustrated by an example of low birthweight effects. Affective disorders vary in phenotype and prevalence within and across societies and through time, arising from an array of context-sensitive cost–benefit trade-offs for females that operate from birth onwards. Available evidence suggests that the general preponderance of mood disorder among females is adaptive overall albeit via multiple pathways.