This whole line of thinking strikes me as emotional reasoning: “I feel bad, therefore the world must be bleak”. People like to look for rational explanations for something that’s not very rational. These feelings of anxiety and depression are probably more correlated with things like lack of religious belief and overexposure to news media than with any facts about objective reality. Plenty of examples of “poor” (on paper) societies being happier on average.

Haven't median real wages in developed countries dropped since the 1970s or so (even more so if you include housing costs in your inflation number)? The world as a whole may be better off, but that's cold comfort when your future in your country looks worse than your parents'.

Median real total employee compensation in the US has increased significantly since with 1970s once you account for non-wage benefits like employer-funded health insurance premiums and retirement plans. (I am not familiar with the data for other developed countries.)

If the reason people are getting paid less is that health insurance has gotten more expensive then that's interesting and relevant as an explanation, but hardly refutes the idea that their lives are getting worse.

It may be, but depression in young people is definitely on the rise and at epic proportions. And article today about teen girls and the same.