Henry Abbott at the ESPN TrueHoop blog writes:
Why are so many successful people depressed? Theories abound…
One I often think about is that people get depressed when there's an expectation that they're always supposed to be really happy and grateful, as NBA players must feel when interacting with starry-eyed fans. This effect also explains higher-than-normal depression over the holiday season: there's an expectation that you're supposed to be jolly and merry and if you are not something is wrong with you.
Anything with a strong narrative around it (like the holiday season) fosters this dynamic. Take New York City. This article about a couple leaving New York City for Buffalo, NY notes their frustration that the real New York — the one you dream about — always seemed just out of grasp to them but fully accessed by others. Or take college life. Hollywood films frequently portray college as the "best four years of your life." These expectations produce an effect similar to the NYC couple who felt the romantic, exciting New York was always just around the corner: in college, the real party is always somewhere else. Surveys of college students show that the average student perceives his peers as having more fun than him, and he wildly overestimates the drinking and sex habits of his classmates.
Bottom Line: When you're successful, like an NBA player, people expect you to be super happy, grateful, stable, and so forth, most of the time. Or, even if you're not successful, if you're thrust into certain well-mythologized environments, a similar unrealistic expectation can drag you down.
(thanks to Chris Yeh for tagging this)