I vaguely recall reading before that happiest countries had increased suicide rates because if everyone around you is doing great and you're not, it increases feelings of shame and hopelessness, that there's something wrong or broken with you specifically. If life is tough and everyone is struggling, it sucks but feels less personally damning.

Anecdotally, the most depressed times in my life were when circumstances were objectively fine and I still couldn't manage to feel any less than terrible. Like, "This is as good as it's ever going to get???" Ironically having actual problems gave me both something to attribute the bad feelings to, and hope that I would feel better once I resolved the problems.

Also if everyone who becomes depressed quickly dies then they don't contribute to the depression statistics.