Depression is often caused by chemical imbalances which we have
no control of. People don't wake up one day and say "hmmm, I think I'll be depressed today, that will be fun"
Living in a first world country doesn't automatically mean you're living a good life. People are homeless, abused, struggling with an illness etc.
The brain is incredibly complex, we still know very little about it. It will decide to fcuk up on us occasionally.
You may find this interesting:
http://www.health.harvard.edu/newswe...depression.htm