I was raised a JW and suffered depression in my early 20s. It was connected to my "friends" all getting hooked-up and married and then having nothing to do with me as I no longer fitted in with them.
I've got family members who also suffer from depression and I'm convinced that it comes from the holier than thou attitude that is so prevalent within. if you are constantly being told that you can and should do better then no wonder people start to get depressed over it!