Via The F-Word, I found this article on Science Daily describing one of the largest studies ever done on sex differences in response to antidepressant drugs. The study was published in the online version of the Journal of Psychiatric Research, and I was unable to get to it from the journal's website, which apparently only archives the print version.
This study differs from most previous studies of sex differences in antidepressant response in that it is larger (it enrolled 2,876 participants, while most of the studies it references enrolled only a few hundred or less), less selective in terms of the kind of patient it enrolled (previous studies, mostly clinical trials, tended to exclude a lot of potential participants, like those with additional co-morbid psychiatric disorders, who might introduce confounding factors, which means that their sample populations were not very representative of the general antidepressant-taking public), and uses three depression rating scales, scored by independent raters.
The study found that, while the women had more severe depressive symptoms, earlier age of onset, more overall life stress (they were poorer, more likely to be black or Hispanic, and slightly more likely to be divorced), and more likely to have family histories of depression, drug and alcohol abuse, and suicide, and more likely to have personal histories of attempting suicide, they had a significantly greater chance of seeing their depression go away entirely (29.4% of women vs. 24.1% of men). This is even though the women had higher rates of co-morbid anxiety disorders, which another study associates with poorer response to antidepressants.
The authors cite one other study with a large sample size: this 2005 study followed 5,452 patients who were given sertraline for their depression. They found no sex differences in patient response, but they were using a much lower (subtherapeutic) dose, and were dealing with different demographics than Young et al had. Also, Young et al failed to use a control group, and failed to blind either the study participants or the raters. They therefore acknowledge that the placebo effect could be boosting their response rate, though they claim the placebo effect works on both sexes equally, so theoretically should not disrupt a study of sex differences.
Though their study was not designed to pinpoint a mechanism for the observed difference in response, the authors propose that, as has been shown in other primates, estrogen acts in several ways to boost serotonin levels. One way you might investigate that would be to study the response of a large group of women to an SSRI, and compare the remission rates of, say, postmenopausal and premenopausal women, or women on hormonal birth control versus not. If it is estrogen, you would expect to see differences between women along those lines.
One final thing: while searching the Journal of Psychiatric Research's website for the original article, I happened across this article, which argues that large sample sizes in antidepressant trials tend to skew the results, probably due to a loosening of the criteria near the end of the recruitment phase. Not sure what to make of that; I had always thought that, with clinical trials, bigger was better, or at least more indicative of a drug's effect on the general population.
Thiels C, Linden M, Grieger F, & Leonard J (2005). Gender differences in routine treatment of depressed outpatients with the selective serotonin reuptake inhibitor sertraline. International clinical psychopharmacology, 20 (1), 1-7 PMID: 15602108
Young EA, Kornstein SG, Marcus SM, Harvey AT, Warden D, Wisniewski SR, Balasubramani GK, Fava M, Trivedi MH, & John Rush A (2009). Sex differences in response to citalopram: a STAR*D report. Journal of psychiatric research, 43 (5), 503-11 PMID: 18752809