Steve said: my impression was that many of the people who studied with the witnesses were even then significantly battered and bruised from their life up until that point. To then suggest the Watchtower caused what was already present is a bit rich in my opinion.
Not necessarily. For example: Mr. Depressed has struggled with depression and acceptance for most of his life. He drinks alot, is lonely and contemplates suicide. The Witnesses knock at his door and present him with a neatly written magazine or article that sums up how awful life in this world is and wouldn't he like to live in a world where there's no problems or depression? A study is soon started and the minute he enter the Kingdom Hall, he is love-bombed from all sides. For the first time in his life, he feels loved and accepted. There seems to be alot of meetings to attend, but everyone is so friendly, it's well worth it to have all these wonderful people in his life. Finding out that this is the only religion that God approves of is another great bonus and it makes him feel extra-special.
Baptism soon follows. And after that, something strange happens. People aren't falling all over him at the meetings any more and are tending to ignore him for the most part. Plus, he's finally found a full time job but he's really tired at the end of the day and he doesn't make it to all the meetings anymore. And that does get him some attention, but not in a good way. The elders visit him to remind him of everything that "Jehovah" requires of him and that includes being at all the meetings and out in Serve-Us every week. Anything less is not acceptable. He doesn't want to piss Jehovah off now does he?
Instead of being 'built up', this guy---who has long struggled with feelings of worthlessness and depression, suddenly starts retreating to the same dark place he was before the Witnesses called on him. He doesn't understand what's happened, but obviously the fault is with him and the thought of disappointing Jehovah overwhelms him. Maybe he starts to drink again. Booze and pills may not mix well, but he doesn't feel quite as bad about himself in this state. He misses more meetings which of course makes him feel even more guilty and worthless and where is Paradise on Earth anyhow?
He tries talking to the elders about how bad he feels, but the only advise they give him is to pray more and go out in Serve-Us more. If he would do more in Jehovah's work, he wouldn't feel depressed. And forget about going to a 'worldly' professional for any help. They're all under the control of Satan and would love to get their hooks into one of Jehovah's people. Medication is okay, but forget any one-on-one counselling. And so he continues on.
This is just one possible scenario. The religion may not be the sole cause of someone's depression, but they sure as hell tend to contribute to it. JWFacts has a good link on the subject too: http://www.jwfacts.com/watchtower/mental-issues.php