I think about this a good bit myself. I wonder how much influence it has on causing other things that make me depressed, such as unemployment, not knowing anyone around, etc. I find myself trying to guess what my life would be like if this one variable were changed and I didn't have any gender-related problems. Of course there's no way to know even close to sure on something like that, but I can't help thinking about it anyway.
I suppose it's possible for it to be unrelated, but especially given the way society is I find it unlikely that anyone could experience this without getting at least a little depressed over it. Maybe the question isn't so much is it related or not but how much is it realted.