Holden gets depressed when people behave in a way he considers phony.
The first thing that Holden describes as making him depressed is how the headmaster at his fancy prep school only talks to the parents of students if they are good-looking, and if they aren’t he just shakes their hand and moves on to other, better-looking parents.
I can't stand that stuff. It drives me crazy. It makes me so depressed I go crazy. I hated that goddam Elkton Hills. (ch 2)
Holden does not appreciate people who are phony, and pretend to be something they are not. This is one of the things that angers and depresses him more than anything else.
Another thing that makes Holden sad is when his mother gives him a pair of skates, because they were the wrong skates.
Almost every time somebody gives me a present, it ends up making me sad. (ch 7)
Holden also gets very upset when someone does something naïve. For example, he does not approve of tourists who put on hats in order to go see the first show at Radio City Music Hall.
If somebody, some girl in an awful-looking hat, for instance, comes all the way to New York...and ends up getting up early in the morning to see the goddam first show at Radio City Music Hall, it makes me so depressed I can't stand it. (ch 10)
Holden disapproves because they don’t know any better, and they think they are getting something they are not. There is no reason, in his mind, to go to the first show at Radio City Music Hall. He considers them taken in, or tricked. This depresses him.
The one thing that all of the things that depress Holden have in common is that they don't live up to expectations. Holden is perpetually prepared to be disappointed. He assumes he is going to be disappointed, and then gets depressed when he is. It makes for a lonely and sad life for Holden.