What comes to you of good is from Allah, but what comes to you of evil, [O man], is from yourself (for your sins). And We have sent you, [O Muhammad], to the people as a messenger, and sufficient is Allah as Witness. (4:79 - Noble Quran)
So you are rewarded for good, and punished for evil (with adversity/hardship), although some cases you could receive hardships/adversity as a test from Allah so that you may turn to him and be patient, and this is a test to raise your status/level in the hereafter above others.
And whoever turns away from My remembrance - indeed, he will have a depressed life, and We will gather him on the Day of Resurrection blind." (20:124 - Noble Quran)
So the disbelievers will have a life of despair, a temporary enjoyment on Earth, then on the day of judgment they will return for punishment.
Allah mentions in the Quran that in the remembrance of Allah do human hearts find rest.
I do not recall the last time I was ever depressed since becoming Muslim, Allah promises the believers a good life in this world and the hereafter, based on their adherence to Islam. For example, if anything bad happens to me, I see it as a way to wipe away my sins and earn reward from Allah and raise my rank in the hereafter, while not letting it bother me since this is a temporary life and Allah will eventually provide me with two eases, so it is nothing to get worried about.