Born in war, seen my first (and not last) corpse when I was five, never got the chance to settle down in any place for a longer amount of time due to fear of us getting killed, fled to a peaceful country where I don't really feel like I belong when I was 8. Am 22 and still don't feel like I belong. Depressed? Yes. Therapy doesn't help, medication only helps that much and I often feel worse after they wear off, and I can't forget nor change my memories of my childhood. Reality check? I don't really get to escape from my reality. Not even when trying to escape through gaming or other means even thought I wish I could.
Everyone get depressed for different reasons. No one can really say that the reason someone else is depressed is not severe enough and that he should grow up or whatever. You can't really compare peoples problems since we are all different, and as such, different situations and events affect us in different ways.