How can this be God's world if so many people are depressed?

This world is not God’s world. The material world is the world of God as little as a prison house is the world of the King.

The material world is a prison for the the fallen souls who have left Krishna’s association in order to enjoy separately from Him.

In reality God is the only enjoyer. We are meant to be enjoyed by Him. When we leave His association we become depressed. The only thing that gives us a sense of satisfaction is by losing ourselves in the bodily enjoyment of family, friends and society.

Of course, in former ages people were happy, because they had the basic understanding that everything belongs to God. In the present age of quarrel and hypocrisy people are so heavily deluded that they are constantly fighting with each-other for position, power, and possessions. And therefore depression is widespread.

The reason so many people are depressed is because they lack awareness of God. As soon as we become aware of Krishna, and realize we belong to Him, we can become cured from the disease of material desires, which is the real cause of depression.

Any sane person will be depressed living in a material body - a life that leaves one nothing to look forward to except disease, old age, and death.

The only cure for such a hopeless existence is surrendering to Krishna’s enjoyment. As we progress in devotion to God we can finally return to God’s world of eternity, knowledge, and bliss - the spiritual world.

The sages say:

O learned one, in this iron age of Kali men have but short lives. They are quarrelsome, lazy, misguided, unlucky and, above all, always (mentally) disturbed.

-- Srimad Bhagavatam, 1.1.10