Well, once a very popular band coming down from filling stadiums to relative obscurity has got to be hard. Turning 40 then losing a friend, I could see how he was depressed. And they were never a particularly happy-go-lucky band to begin with.
I think also, when you achieve your life goals and still feel depressed it's even worse. When you're poor you can think: "maybe my life will improve if I can finish paying my mortgage" . When you've got nothing to strive for then you're just left with your own thoughts.