I don't think it's ever the thing's fault. If you're actually depressed about not solving a really challenging problem, this results from a process that works differently in people who aren't susceptible to depression. For instance, maybe you get depressed because you thought you could solve it much more quickly, and you're realizing your self-assessment is entirely wrong, and this starts negative thought spirals that maybe your abilities to do anything are over inflated, and that you'll just experience frustration and negative emotions in tackling anything, and this sucks the drive and enjoyment you used to experience from any of your hobbies.

If you weren't susceptible to depression these spirals wouldn't take hold, you might just say, "huh, now that I've learned more, I realize this is a harder problem than I first thought" and you just carry on.