One of the main reasons why Holden constantly refers to situations and people as depressing is perhaps simply to emphasize that he is telling the story from a mental institution where he has been placed likely as a result of depression.

The other reasons are more difficult to decipher but tend to demonstrate his inability to connect with anyone in a way that satisfies him.  Whether it is his friends at school, Sally, and even his sister Phoebe, Holden cannot express to anyone his true feelings or be satisfied with the way that anyone treats him, suggesting that since Allie's death he is incapable of forming an emotional attachment such that he could be satisfied or happy with a relationship with another person.