There are many reasons why someone could be unemployed. Unfortunately, it's true that most people will immediately think poorly of a person because of it - usually thinking it's some combination of laziness, immaturity, or psychiatric and behavioral problems.
There are a LOT of people that are unemployed that fit at least one of the descriptions from above.
In terms of mental illness, it's better to clarify. I'd consider there to be a difference between someone who is unemployed because they're depressed and someone who is depressed because they're unemployed. These two people could look similar, but their reasons could be very different from one another. After awhile though, it likely becomes circular logic. You became depressed because you were unemployed. But now your depression is causing you to stay unemployed.
But on the other hand, there are people that are unemployed for productive or leisurely reasons. I'm not talking about people who live off welfare. I'm talking about people who have the financial means to not work and want to do other things with their time. These people could be self-starters, aspiring entrepreneurs, etc. They could also be care givers or ill with medical stuff themselves. They could just be taking time off to enjoy life.
It's ironic. We all say "wouldn't it be nice if I had the time to do [blank]." But then look down on people that actually take the time to do it.
There are also people who might claim to be unemployed for privacy reasons. I'm not talking about just illegal things. I knew a guy who went to my gym. He was always there during the day despite being young. He said he didn't work. Eventually, I found out he was an amateur trader/investor (meaning he only used his own money). He apparently was able to bring in enough money doing that to live a modest lifestyle without having to get a "real" job. This was a small town filled with blue collar people so it made sense why he didn't want to disclose it. He said he moved there for the cheap cost of living.
In any case, there are many reasons. Like most things, it's best not to judge a book by its cover.