The difference in experiences starts early in life. For boys, girls showing interest in them is often an exciting and empowering experience. For girls, often as not, the first sign of sexual interest is a creepy older man making uncomfortable comments at them when they're 11 years old. IIRC this shows up in mental health statistics -- boys who start puberty earlier tend to do better; girls who start puberty earlier tend to do worse. And of course there are different social standards applied to men's and women's sexuality.
Women also have much bigger safety concerns than men do, and have a harder time getting anything done about attacks afterwards.
I think all of this does make it harder for women to understand the destructive loneliness that a lot of men (particularly young men) face. I've been there, and I remember that trying to talk about with my female friends was a frustrating experience. But over time I've come to see that women don't really have it any better than we do. We're wandering through a desert looking for an oasis; they're swimming through a lake of garbage looking for an intact water bottle.