For several decades, evolutionary and social learning theories have been explanatory frameworks to explicate gender differences in overt behaviors and the prevalence, etiology, and maintenance of mental health problems. To further explore relations among gender, overt behaviors, and depression severity, this study used a daily diary methodology to examine gender differences within thirteen behavioral domains and whether differntial frequency of overt behaviors and environmental reward mediated the relationship between gender and depression severity. Overall, females engaged in a significantly greater breadth of behavioral domains and reported a higher level of environmental reward. Females reported spending more time in the domains of health/hygiene, spiritual activities, and eating with others. In contrast, males spent a greater duration of time in the domains of physical activity, sexual activity, and hobbies and recreational experiences. In relation to males, females found social activities, passive/sedentary behaviors, eating with others, and engagement in “other” activities to be more rewarding. Gender had a significant direct effect on depression severity, with females reporting increased depression. This effect was attenuated by the mediator (total environmental reward) such that to the extent that females exhibited increased environmental reward, the gender effect on depression was reduced. These data support behavioral models of depression and have clinical relevance as highlighted in the context of behavioral activation interventions for depression.