Well, I think it definitely contributes to that. When you think about it, consciousness is basically your mind, it's the thoughts you think all the time, it has your ideas, feelings etc.
It makes us aware of our existence. If we're capable to be aware of our existence we can certainly be aware of many things that can change us or make us a certain way- it has a big impact on our whole mindset.
Such as the awareness of everything wrong with the world, or death itself, can lead you to things such as depression. It's a really mainstream example, though there are others.

However, some mental illnesses rely more on things such as your senses etc., and not so much consciousness.