Do we know that, though? Historically the lives of most people were bleak and miserable. You don't really have much time to feel depressed when you have to work for 14 hours in a factory 6 days a week or lose your home and eventually die in the streets due to malnutrition and disease. People who couldn't take care of themselves and didn't have a support network just didn't live that long and/or were entirely erased from history...
I find this hard to believe. People in the past weren't depressed nearly as much, so whatever is causing it has to be environmental.