It is really not surprising at all that the depression rate is high among JW's.
There is the 'spiritual paradise' everyone talks about, but it always seems to be just out of reach to the ones who search for it.
You never do enough. When you study, there is the guilt of not being baptized, when you're baptized, you never make enough hours in the field. In order to lose THAT guilt, one becomes a pioneer, but the ones who auxillery pioneer seem to be in better standing, etc..
Some people have truly believed for years and years and years that Armageddon is right around the corner. It's like waiting for a letter from a dear friend. The first 6 days you run to the mailbox, thinking it will be there. The disappointment grows a tiny bit each day when that box is empty. Then after 60 days, you still run to the mailbox, thinking this is it, it HAS to be there. But 600 days later you're dragging yourself to the mailbox, you will be considered 'weak' if you lose your hope. You probably did lose hope but you have nobody to talk to, or you will be considered even weaker. It would depress anyone, no?
Then there is the no part of this world thing. You smell the home baked cookies everywhere at Christmas, people at work talk about all the fun they have in their free time. There are many worldly 'pleasures' that don't seem to be forbidden in the bible, yet as a JW you are not supposed to do them.
You are a constant outcast. You are rude. You can't even say 'bless you' when someone sneezes. We all want to be ordinary people, all of us. Anything that will set you aside from any regular norm is like a request for depression, really.
Last but not least.. what kind of people are 'open' to the 'truth'? Right, often people who already have a lot of problems in their lives. JW's offer a solution (Do Jehovah's will and all your problems will melt like ice on a sunny day). So, many are already depressed BEFORE they jump in the pool of baptism.