Its only my opinion, but as an oversimplified response to the question in the title, modern human beings live in an unnatural way that is not in alignment with the way they lived historically. The more disalligned you are with your nature the more severe your depression and psychological suffering.

Consider a farm animal like a cow kept isolated inside in a confined space but having its basic survival needs met by outside intervention. Now consider the same animal but living freely eating its natural diet, existing within its natural social group, in its natural environment. Which animal do you think has a higher quality of life?

Now consider a modern human, sitting alone in a house (box), woken by an alarm, eating an artificial diet, spending his time looking at a monitor or doing paperwork. Then consider how your ancestors probably lived in contrast.

I'm not suggesting you revert fully back to being a hunter gatherer, since that wasn't all roses, and since it's not necessary. There are plenty of humans living nowadays who aren't depressed who seem to thrive and live full lives in modern society.

I just suggest to try to identify things about your life in particular that are out of alignment with human nature. LIke being alone, like sitting inside (in a box) all day, like over-using technology, like eating an artificial diet.

If you're able to alter these things you might find that you feel better.