Research has shown that people in underdeveloped countries are less depressed. Depression and mental disorders have been cited for being "luxury disorders," which means that in America, we live very comfortable lives. In other countries, however, when you are just trying to survive, you don't have time to be depressed.
Also, there is a factor of how wealthy a person is compared to others. When everyone is operating from a level playing field, and people are equal, there is less prevalence for depression and other disorders. It is not the objective conditions of life that matter, but rather the perception of how you measure up.