Nearly 90,000 people in 18 countries were screened for major depressive episodes using a set of standard questions. What they found was that people living in richer countries were more likely to have had a depressive episode than those in low or middle income countries. On average, 15% of those in the 10 richest countries had had at least one depressive episode in their lifetime, compared to 11% of the poorest ones.
What's interesting though, is that in the richest countries, it was the poorest people that were more prone to depression. Researchers speculate that one of the reasons for higher depressions rates might be higher income inequality in richer nations. Others think that it could be low awareness of mental illness in poorer countries.