I feel like, the reason Shadow and Amelio got so depressed was due to getting so many emotions pushed onto them. I feel that Felix would vent on and on about his problems to Shadow and not being able to understand him, even as a kid, before getting terrified at all the crying and screaming and that's when Felix stops. The same goes for Carmey and Jerry, they would vent out their feelings towards Amelio and just spew on and on about what happened to them

Though that's just me, they can totally just get hit with depression, because it happens a lot. But I always like backstories on things, so here.