It is certainly not just a first world problem. There are many problems in advanced nations that get a spotlight on them, but that doesn't mean those problems don't exist in less developed places. In some parts of the world, getting fresh water is the biggest concern. Solving that problem becomes so important that topics like mental health may be completely ignored. I would wager a guess that North Korean citizens rank especially high in prevalence of depression, but it's not even a top 5 concern for them.

The historical record has many descriptions of depression dating all the way to B.C. times. Depression has been a thing that has affected humanity for at least as long as organized civilization has existed.

I think a good question to ask is: Do uncontacted ("lost tribe" cultures if you will) peoples have differing prevalence of depression compared to the connected world?

I don't know the answer to that question, but I wouldn't be surprised if the rates of depression in those cultures is lower.