I'm confused about the implication here. Are westerners (laowai) more prone to getting depressed from poor air quality? Chinese (native/migrant) aren't affected?
Depression often has to do with standards and expectations, not necessarily the situation itself. Edit: or to say, its about the relative situation between the past and present. If the present has been stable, good or bad, then you won't get into a funk.
For example, say you fly economy your whole life, its not great, but you are perfectly happy with it, then one day you get magically bumped up to business...and oh my god you can sleep on your 9 hour flight! But you can't afford to ever fly business again...so you get depressed whenever you fly economy.
You can see first hand the difference between the Beijing sky and that in Boston. http://sdrv.ms/10T8oof
I feel more depressed in the summer time when the air pollution is high. In the summer, the pollution feels smothering and then the oppressive heat of the city can be overwhelming.
In the winter Beijing somedays just feels smokey.
We are all affected the same sure enough, but our* expectations might be higher since back home we think "90" is high, when in Beijing that is almost a clean air day. The rest of north and central China is pretty much the same, while the southerners and definitely the westerners (like, west of LanZhou) will complain about the AQI in Beijing just as much as the foreigners do.
* There are many countries with problems as bad or worse than China. If you come from one of those countries, then Beijing might not seem so bad.
It makes sense a foreigner who (I assume) can hole up on bad days would feel the grodiness more acutely.