People who have less belief in allah go depressed as they haunt more with life looking at things which will not be achievable to all. Media today has spoiled the controlling ability of individuals and hence these issues. So each individual weather he is a victim or not he wants to go with worldly made cures of medicine or other issues. Muslims have their own cure in practicing islam/peace to the commands of allah. Every thing is here in the for of true peace.
A worldly person, the moment one is there, he/she ends up physiologically with the notions of anxiety.