Most rich people that are depressed due to the fact that they were either born into wealth or did illegal things to attain their wealth, this can give them a sense dissatisfaction about their lives or a feeling of unhappiness, poor people in the other hand learn a lot from life and if they eventually get rich they tend to be happy because they've been through a lot of obstacles and tough times..This might not be the case of everyone though
Not necessarily because they inherited it or did illegal things to obtain it, but I guess that it can be a little bit frustrating also having earned so much money so you don't need to work for a living for some of them, and not knowing what to do with one's life to get motivated. I guess that buying things and paying for experiences help, but doesn't last forever.
Those who are poor or simply in debt don't have so much time to bore or think about that sense of dissatisfaction you mentioned, because the spend long time working or thinking about their job.
Of course, not all rich people have time to get bored: many run businesses or manage investments, for example. So money can help, but it doesn't guarantee by itself living a fulfilling life.