From SSM – Population Health:

SSM – Population Health
Volume 13, March 2021, 100742

The gender gap in adolescent mental health: A cross-national investigation of 566,829 adolescents across 73 countries
Olympia L K Campbell, David Bann, Praveetha Patalay

Highlights
Girls have worse average mental health than boys across 4 measures of mental health.

There is large heterogeneity in the size of the mental health gender gap across countries.

The gap is most pronounced for psychological distress and life satisfaction.

More gender equal countries have larger gender gaps in mental health.

… We report four main results: 1) The gender gap in mental health in adolescence is largely ubiquitous cross-culturally, with girls having worse average mental health; 2) There is considerable cross-national heterogeneity in the size of the gender gap, with the direction reversed in a minority of countries; 3) Higher GDP per capita is associated with worse average mental health and a larger gender gap across all mental health outcomes; and 4) more gender equal countries have larger gender gaps across all mental health outcomes. Taken together, our findings suggest that while the gender gap appears largely ubiquitous, its size differs considerably by region, country, and dimension of mental health. Findings point to the hitherto unrealised complex nature of gender disparities in mental health and possible incongruence between expectations and reality in high gender equal countries.

One of their four measures of mental health, psychological distress, has girls being worst off relative to boys in Sweden, followed by Netherlands, Finland, Germany, and Denmark. The smallest gender gap on this measure is in Muslim Indonesia: