Why am I having depression when trying to escape reality?
Because humans didn't evolve to live in an extremely connected world, surrounded by eight billion other humans, while working 40+ hours per week and worrying about paying bills. The information era of the industrialized capitalist societies forces a lifestyle, which is a recent invention, while evolution works on much much slower timescales.
Side note about mental health specifically: Hunter-gatherers had serious things to worry about too, but they only needed to think about a 100-150 people in their tribe. Surviving was hard, sure, but they also had a lot of downtime, when processing of emotions can take place: hiking to and from a hunt, churning butter, mending fishnets, etc.
Modern humans not only get bored easily, but they don't let themselves stay bored. Big social media corporations hire hundreds of people with PhDs and train their algorithms on petabytes of data to ensure maximum exploitation of our attention. The monkey brain is powerless without outside help. Not everyone can afford therapy, and the increasingly individualistic society means not everyone has a friend they can confide their troubles in.
