I think there is a lot of evidence for this claim; see the section Paradox of Leisure.I totally disagree.
The problem is that society, as it's structured today, does little to support the unemployed to provide the kind of social contact and meaningful activity that would offset depression and isolation.
In addition, there is a social expectation foisted upon the unemployed that they must become employed, and that expectation creates pressure, depression, and further isolation.
The fundamental issue is that we, as a society, have decided that unless you're working you're idle, and if you're idle you're useless.
Consider, there are many many retirees who manage just fine. Why? Because there's a social network put in place to support retirees... activity centers, social groups, travel clubs, etc. And a social expectation that retirees will specifically be idle!
Similar support mechanisms do not exist for the unemployed today because the unemployed are viewed as failures. Unemployment is not a valid life choice, and therefore society does nothing to support them.
This fundamentally comes down to the western idolization of work. Address that and I believe you'll address many of the psychological harms supposedly caused by a lack of employment.