I understand what you mean, and feel the same way at times. I think that entire books could be written by people far smarter, and far more educated than myself about this topic, but something that comes to mind is that our expectation's are so much higher here, particularly in the USA. We are constantly bombarded with information that tells us in order to be a success, or happy, or pretty we need to achieve X, without X we are somehow unworthy or failures. I think people don't realize to what degree we have all been programmed by TV, radio, print media, schools, most of which are not available in less developed countries or at least not as readily available as they are here. I think a lot of it for some of us is just a dissatisfaction with what we have achieved in life. I know for me that is a huge depression trigger.
I also think that people of less developed countries maintain closer family bonds, and therefore have better support networks, as well as richer spiritual lives.
As I said there is probably a lot that could be written about this topic, but I think it is safe to say that mental / emotional issue's plaque people the world over.