Four female Witnesses and one male Witness that I know are on some sort of anti-depressant .. and yes, so are a lot of non-Witness friends of mine. It's not exclusive to them, and I'm wary about saying that external circumstances usually or always "cause" depression, given natural chemical imbalances and such. But as someone said, the whole "happiest people" thing makes the Witnesses' use of drugs hypocritical.
I've heard one of them say that "The World" causes the depression ... so it's not their fault. It's because they see the "truth" of how "horrible" the world is that she is depressed. It's because they see Satan's role that they are unhappy. They will be happier once this System Of Things is destroyed. (die! die! die! )
I don't know that that aligns with WT theory, but that was something she said about why she felt unhappy. Heck, if I believed there were nothing redeeming about life and that everything was evil and nothing was meant to be good, except a freaking religion, I'd be pretty depressed, too.
Fortunately, I'm not a fatalist.
SLM