Well, you're correct to a reasonable extent that we can't cash out our entire mental disposition in our environment, but it isn't incorrect to say that the lifestyles that capitalism funnels people into contribute significantly towards depression.
I know that in my personal experience, having a job - a shitty job in particular - is almost inherently a depressing experience. There is nothing natural about having to wake up at the exact same time every day, do the same things every day - organized according to a schedule even, depending on your job - and every day be herded into this environment where you are meant to feel threatened on all sides by your bosses, the customers, and sometimes even your fellow employees. There are certainly some people who prefer more regimentation to others, but even so the regimentation is self-imposed, and freedom to do also implies freedom to not-do which is not present in capitalist work.
Now add to this being also under-paid, unable to make enough money to support yourself without having multiple jobs - when already working 40 hours a week every week for your whole life is an abominable lot - and having only eight hours a day - possibly minus two hours of getting to and from work - to recover from work before you need to sleep again and then force yourself out of bed again to do it all tomorrow. The only time out of the week that we have any degree of freedom to enjoy ourselves is on the weekend, and even this is merely leisure time
, not free time
; that is, time to consume, to work more
and pay your hard-earned money
And then consider how privileged we are in the first-world, compared to sweat-shop workers in the third-world, some of whom will die from malnutrition or work-related accidents and never do anything at all with their lives other than work.
Comrades, the only thing that separates this world from Hell is death.