Hierarchy of needs/Maslow pyramid. It's less likely to get depressed in a place when most time of your life you worry on tomorrow's food.
Plus shitty workings conditions/culture in places like Japan

>>2's answer is mostly right, but I feel that it's not the whole story.
I personally believe we live in times where having a connection to a "spiritual" entity or oneself is thought of as less important than having our material needs met. This doesn't mean that one is more important than the other, but that we need to develop both at the same time.
If you live in a highly materialistic society where your value as a person is solely determined by how much you earn and how much you have, then you are likely to get depressed when you are not accomplishing this aspect of your life. Also only having one aspect being the sole determinant of your life makes you feel highly anxious all of the time.

I'm under the impression that most developed countries have most of their material needs met (as >>2 points out) and afterwards people star worrying about more complex stuff than what they are going to eat tomorrow: "what's the point of my life, what is my all-encompassing objective?", and if your society/community can't give fulfilling answers about this, then you are pretty much doomed, there's no "place" for you in a structure, you feel like you don't belong anywhere, no one depends on you and you are replaceable everywhere. That feeling of no self-importance brings people closer to suicide.
Also, I can't speak for every single country, but social isolation due to high competitiveness and generally social relations being relegated to 2nd place (because they get in the way) just for having a highly succesful carreer pays it's toll on human psyche down the line. You feel like an object, a commodity, not as a real human being that has needs and wants that need to be met that go beyond the mere material.

I think that if you can develop a connection with something (nature, other people, a task, etc...) you will feel like you have a place in the world and that life is worth living overall, "spirituality" can help with that a lot, although it doesn't work with everyone, but it's a leap of faith worth taking I believe.

INDUSTRIAL SOCIETY

What keep you alive guys?
In what you'll spend your lifetime?

TL;DR don't believe in statistics

happy countries aren't that happy , they are just less sad so statistically they rank higher in "happiness" (such as Finland), people hides their sadness and seeing many happy people around them saddens them even more as if they were an exception to the rule or something and so this sad people doesn't appear on statistics, they just commit suicide without people knowing what saddened them.
there's other analysis you can do such as people who is depressed not because they were hit once with a bad happening but every little thing goes bad for them and so their life feels worse, aka first world problems w

Society has become not worth participating in. This is the elephant in the room.

Fifty years ago we were told that as technology progresses, we will have more free time and this has been the opposite of true. We have to work more for things than our parents and grandparents did. We have to pay more for education, healthcare, housing, transportation etc. Most people have to work two jobs to be able to pay rent and 2.5 to 3 jobs to be able to feed a family of four.

Living somewhere out in the countryside where real estate is cheaper is less and less of an option as the worldwide trend is for jobs to disappear from the countryside and move to cities, making rent even more expensive.

Death from overwork is a rising phenomenon in East and West alike. Complications from stress and overwork, such as cardiovascular disease, strokes and heart attacks are on the rise and they're happening at an ever younger age.

Capitalist countries are seeing a decline in birthrate to the point of not even being able to replace the current generation because people don't have time for kids or they can't even find a significant other because of how depressing and cold society has become.

This shit has got to change.