For God to prove himself on demand, physically, would be a grave disappointment, and the strongest Christians should be considerably grateful that he chooses not to do so. The skeptic endlessly demands proof, yet God refuses to insult the true intelligence of man, the '6th sense', the chief quality, the acumen which distinguishes man from the rest of creation, faith.
Depression is a serious problem, but drugs are not the answer. In the long run, psychotherapy is both cheaper and more effective, even for very serious levels of depression. Physical exercise and self-help books based on CBT can also be useful, either alone or in combination with therapy. Reducing social and economic inequality would also reduce the incidence of depression.
How is it that some celebrities, whom the average person would believe to have all the popularity a human being could want, still admit to feeling lonely? It is quite naive to assume that popularity is the remedy for loneliness. Loneliness does not necessarily equal physical solitude, it is the inability to be oneself and rightfully represented as oneself.