As they say, ignorance is bliss. If you never educate yourself about how other people in the world live and how your lifestyle impacts them, or how the food you eat is made, or the actions that governments take on your behalf, you won't feel empathy or anger about all the injustices and abuses that occur. Once you realize how much pain exists, and how much of it is a result of your action or inaction, then the real depression starts.
Actually my impression is that poorer people are more likely to be depressed. Consider the high rate of suicide among poor Indian farmers, or the high number of homeless with mental illness.
A quick google search for studies of the correlation between wealth and suicide seem to confirm my view, eg "a 2009 Gallup survey [shows] the rate of depression is nearly twice as high for Americans making less than $24,000 a year than it is for those with annual incomes above $60,000." Of course, the real story is more complicated: It seems the correlation is much less clear for poor regions than for poor individuals, and I saw some suggestions that poor people living next to wealthy people were more likely to commit suicide.
That might be confusing cause and effect. It's not that homeless people are more likely to be mentally ill, it's that the mentally ill are often homeless.
And that's by choice - we've decided that we'd rather not give a shit about mentally ill people, because it might cost money. (Cf. the killing of the Mental Health Systems Act)
I don't know how much depression is caused by external and abstract world events and how much is caused by more personal events. People are more likely to become depressed after a divorce for example.
