To be fair you are the first person in this thread to bring up gender, as if women don’t also feel depression in retirement, and indeed at higher rates. Why would you only mention men?

If there is evidence my guess is that it’s likely due to the previous generation’s attitude towards work. My guess is that the previous generation (like my parents and their parents before them) lived to work, it was their whole identity, thus when they retired they had no idea what to do with themselves (like the Loom founder) and depression was common.

There has been a shift over the last decade or two likely in millennials who just work to live. They look forward to not working and living a life full of hobbies and social activities.