People find they are not happy, so they search for a path to happiness and our culture tells them that it is through being wealthy, famous, and successful. They search for a path to those things and find that it often involves long hours, greed, and psychopathic behavior. Human relationships are a risk, and risks are to be minimized. They put this knowledge into practice and find that it doesn't work.
My own theory of how depression works is that it involves an inescapable realization that your model of reality is broken and can't be used to make predictions that allow you to effect the change you want to see in your life. You wanted to be happy, society gave you a bad model to work from, and the mind's reaction to discovering that this model doesn't work is depression.