Pretty much every character in Freedom struggles, at one point or another (or the whole time), with depression. Walter and Joey, for example, sink deeply into depression out of grief and guilt, respectively. Of course, sadness and depression have always been a part of the human condition. What sets apart the depiction of depression in Freedom? One easy thing we can point to is the fact that anti-depressants seem to be everywhere: at the very least, Patty and Connie try to ease their pain with meds. We might also point out how self-conscious all these people feel about being depressed – being depressed, recognizing it as unhealthy, unhelpful, etc., yet feeling helpless to escape its dragging weight.
As an interesting (and relevant) side note, a lot of the commentary on this book has mentioned Jonathan Franzen's close friendship with the writer David Foster Wallace. Wallace committed suicide just as Franzen was beginning the writing process, and thus the book was largely written while Franzen was grieving for his absent friend (source).