Disclaimer: Before answering this question, I have to state that I am reporting on tendencies and using generalizations. Males and females might express symptoms of depression in any of a variety of ways. Just because I report on generalities does not mean they are always true.
With that said, females are more likely to express the stereotypical symptoms of depression such as inconsolable sadness, isolation, and feelings of hopelessness and helplessness.
Males, on the other hand, tend to express depression as irritability, anger, and discouragement. Males are more likely to mask symptoms of depression through personifying a "tough guy" image, drinking alcohol or using other drugs, or working excessively long hours.
In conclusion, males tend to generally direct depressive symptoms outwardly, such as expressing anger and blaming others. Conversely, females direct depressive symptoms inwardly, blaming themselves, feeling sad and helpless, and isolating. Again, keep in mind that ultimately either gender might express depression in a variety of ways, but these are generally the ways men and women differ in depression.
Donatelle, R. (2010). Access to Health: Green Edition. San Francisco: Pearson.
Murray, B. (2005). "Facts about Male Depression." Uplift Program, available from http://www.upliftprogram.com/factsdepressionmen.html.