I'm female but kind of the same as you, just for different reasons. With me, I hate letting myself cry because I don't want to be one of those stereotypical, too-much-estrogen types of women that makes people think all women are emotional wimps who are not to be taken seriously. I'm a feminist and believe women should get recognition for the ways in which they are strong. I also believe that it should be seen as okay for a man to cry. Yet I mentally berate myself if even a tear slips out of my own eye. Internalized misogyny on my part?

But to answer the question, yes, I'm very ashamed of my depression. (And my anxiety, and myself in general really.)