Can't speak for them, but being in my mid 30s I see a direct link with the time I spend on my phone and how I feel. Scrolling for hours I feel awful, when I get up if I don't look at my phone for the first half hour I actually end up having a productive day, get to the gym and do what I need to do which results in me being less stressed as I've got no chores or important things being pushed back or ignored.
My daughter uses her phone a bit but isn't a heavy social media user she barely uses Facebook only to say happy birthday to family etc and snapchat which she also doesn't use a lot and she seems to be happier for it, sue will be productive with her day getting coursework and revision done and not let her phone distract her.
I think social media shows them a perfect world and they feel depressed looking at what they haven't got instead of being happy with who they are and what they have got.
Laugh if you want but I think the selfie has a lot to answer for as well, people looking for happiness with likes and interactions on photos they take ages getting just right..i think that's a mental illness in itself.