That could be part of it.
However, in countries that have similar (or even higher) rates of depression and anxiety than we do, there's still not this same love affair with the idea of "I'm not going to change anything, just give me a quick fix for it".
For instance, we're on par in terms of depression/anxiety rates when compared to countries like The Netherland, Norway, Canada, Portugal, Ireland, etc... (Australia and New Zealand are even higher)
I think part of it could be a cultural aspect as well, specifically with regards to this notion that "not having absolutely everything on want in life like I see on TV" becomes a catalyst for depression and substance abuse...and that seems to be a luxury of being spoiled in westernized cultures... or that "being average" is somehow something to be depressed about.
This infographic is quite interesting I thought...
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Objectively speaking (in terms of everything that a person could be happy or sad about in life or that could cause undo mental stress), there's no tangible reason why people living in Belgium/Finland/Norway should suffer from higher rates of anxiety and depression than people living in Uzbekistan, Burkina Faso, or Somalia.
I guess my only theory would be (and it's just a theory), that growing up with unreasonable expectations being instilled of what "a good life" or "success" is (that most people will never be able to accomplish) from a very young age could be playing a role.
https://www.psychologytoday.com/us/...-countries-citizens-are-more-likely-depressed
This article explains the phenomenon, but the author/article preemptively admit it's a touch puzzle to solve, but at the end, espouses a somewhat similar theory to what I mentioned, which was
Why is it that having more money as a country does not buffer its citizenry against mood problems, and in fact, the opposite is true? Ronald Kessler, a professor at the Harvard Medical School, and one of the study authors, may be on the right track when he said,"U.S. expectations know no bounds and people in other countries are just happy to have a meal on the table."
If a young person is dead set on becoming a professional athlete, movie star, etc... "I'm going to have millions of dollars, drive 5 sports cars, and travel the world in luxury", they're likely going to be let down by statistical reality...as to where a person of my humble origins is likely to set more reasonable goals, and be more likely to accomplish them.