Could it possibly be because of the way our society is structured? I believe so; here's why...
Our society is structured in a way to always make us chase after material possessions and earn money. Enough is never enough and advertisements or psychological manipulation as I like to call them encourage us to always seek the next best thing. Working the most important hours of the day (9am to 5pm) to get enough money to put food on the table and buy material possessions isn't exactly natural. Humans were once beings that farmed, had a strong sense of community and relied on each-other. Now this world is a dog eat dog world where people back-stab each other to get ahead just to make extra money - not to be cliche but where's the love? The compassion?
Personally I feel thats the problem, we're living in a loveless world that tells us to do things we do not want to do as Humans.Who wants to work 9am to 5pm doing the same mundane tasks We are depressed because something is missing from our lives through-out the western world and thats spirituality, strong community units and a feeling of being content.
Spirituality being connected to our soul, the natural world and others we have utterly lost this connection. In replacement we have consumerism that forces us to work and spend our money. We need to move away from monetary gains focus on connecting with love ones and the natural world truly absorbing the beauty of the world. Not many people even look up at the sky as their too preoccupied with paying bills, mortgages and saving up money.
I don't blame people getting depressed over these issues I blame the people in positions of power for creating such a toxic world.