Segregation and racism did not really help to cause the Great Depression. However, the government's actions during the Great Depression and the New Deal did reflect racism and segregation.
The main connection between racism and the Great Depression is the policies of many of the New Deal programs. New Deal programs were generally set up to try to help poor people. Many of the poor in the South were, of course, black. But the federal government allowed the local governments to run the programs. This mean that most programs, like the WPA, tended to treat blacks worse than whites.
Please follow the link for an excellent discussion of this and many more examples of how various New Deal programs discriminated against African-Americans.