As someone who is antipsychiatry and antipsychology, I don't agree with those saying it's a mental illness or "chemical imbalance". However, as someone living in a first world country, I have experienced depression and know that it is not so simple as you make it out to be. Depression isn't just feeling sad. It has a wide range of symptoms as well. I know that when I first had this problem, I could barely get out of bed in the morning. My limbs felt like lead weights and the veins in my head pounded so hard I got headaches every day. It's definitely something that will break your spirit when you are in physical pain and stress all day every day.
Aside from the physical health problems it brings, many people feel extremely stressed out with work, school, and their social or private life. Students are being overworked and getting less sleep than they used to. Economic problems force workers to increase their work load. Japan even had to invent words for this because it has become such a common occurrence- karoshi (worked to death) and karojisatsu (suicide from being overworked).
People also, as typically imagined, get this after spending long periods of time being isolated, bullied, neglected or abused, etc. Sometimes, it even happens as one is approaching old age or incurable/costly illness. Just because we have better technology, healthcare, education and so forth doesn't mean the problems don't exist. Also, you say that they don't get everything they need and are still happy. This is oversimplification, and might I add Guyana has the 4th highest rate of suicide in the world,
according to Wikipedia. The US is at 34, UK at 37. Clearly the people of third world countries are not all rainbows and smiley faces like you seem to be implying.