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They were so ignorant, and they had those sad, fancy hats on and all. And that business about getting up early to see the first show at Radio City Music Hall depressed me. If somebody, some girl in an awful-looking hat, for instance, comes all the way to New York – from Seattle, Washington, for God's sake – and ends up getting up early in the morning to see the goddam first show at Radio City Music Hall, it makes me so depressed I can't stand it. I'd've bought the whole three of them a hundred drinks if only they hadn't told me that. (10.50)
Holden is depressed by these girls having succumbed, perhaps unintentionally, to the phoniness of New York. They've traveled all this way, only to be sucked into the culture of movies and shows and actors (remember how excited they were when Holden pretended to have seen Gary Cooper?).
New York's terrible when somebody laughs on the street very late at night. You can hear it for miles. It makes you feel so lonesome and depressed. I kept wishing I could go home and shoot the bull for a while with old Phoebe. (12.1)
We see again that solitude is what depressed Holden, but here is the added dimension of his little sister, Phoebe. While Holden talks about reaching out to several people, Phoebe is one of the few people with whom he does actually have a real, genuine connection.
I took her dress over to the closet and hung it up for her. It was funny. It made me feel sort of sad when I hung it up. I thought of her going in a store and buying it, and nobody in the store knowing she was a prostitute and all. The salesman probably just thought she was a regular girl when she bought it. It made me feel sad as hell – I don't know why, exactly. (13.53)
Even Holden doesn't know why he finds everything so depressing. Anyway, in this case, it seems that he's upset over Sunny's confinement to her role as a prostitute, her need to hide it from others, and the shame she most likely feels at her occupation.