Also, remember that old millenials are pushing middle age (late 30's). Their mortgages have been used to fund a bunch of boomer retirements, they can't afford to see a doctor, they watch a lucky few (including many readers here) collect a huge chunk of the output of human labor, and they were left a dying world where the thought we might literally see the collapse of civilisation is not completely outlandish.
I mean, hell, I'm not diagnosed but I've had points where I'm pretty fucking depressed. I'm trying to check out of the system (cheap house, no commute, etc.) because it seems purpose-built to make other people happy. but I still worry my kid will need to learn to shoot, trap, grow, organize, and hide in order to get by in the world we're leaving her.
Maybe people feel depressed because the world is depressing?