Hardly - rather that we normalize to whatever is going on in our environment, perceiving risk, danger, ok or not ok, etc. in a relative sense not an absolute one (minus adaptation time).

There is decently solid evidence too that where someone lands on the distribution for a given environment is mostly set at an early age, often with a strong genetic component.

In the case of depression and anxiety, at least in the view of CBT, there is always some sort of cognitive distortion at play. In other words, if the mental anguish originates from having taken a distorted view of the world, it wouldn't tell us anything if the world was an OK place or not to begin with.

The question that bothers me is whether the existence of such distorted views of the world tells us something about the world. After all, they did not arise in isolation - what distorted that person's perception and what's preventing it from correcting itself?

This is an interesting thought but the answer can be as simple as cognitive biases. The world around you could be a literal utopia but the depressed mind would still think life is hopeless.

The mind is the world though. If the mind is distorted, the world is distorted. They can't really be considered separate, because for that being their mind is the true reality.

Depression and anxiety are completely internal reactions, how oneself responds to the world. It does not matter if the world is good or not if your reaction is broken.

"Did you know that the first Matrix was designed to be a perfect human world? Where none suffered, where everyone would be happy. It was a disaster. No one would accept the program. Entire crops were lost. Some believed we lacked the programming language to describe your perfect world. But I believe that, as a species, human beings define their reality through suffering and misery. The perfect world was a dream that your primitive cerebrum kept trying to wake up from. Which is why the Matrix was redesigned to this: the peak of your civilization." - Agent Smith