It’s hard to really conduct completely accurate research on the prevalence of depression across the world due to so many external factors such as culture, relative wealth, etc, but looking at any publication released in recent years shows that Japan actually isn’t anywhere near the top of the rankings for avg rate of depression by country. In every one, countries such as South Korea, China, and even “Western” countries as you’ve said such as the United States, Greece, Spain, and Germany have all been found to have higher rates of depression.

Edit: That’s not to say it’s not a problem, it’s a HUGE problem, and there’s so much more that could be done to help people suffering from depression, providing them with the resources and support to overcome this ailment, and that’s comping form someone who’s been diagnosed for depression too. However, there’s been a tendency for many to label Japan as the most depressed country in the world, where everyone is far more depressed then the rest of the world, but that’s simply not the truth, and just wanted to stop some misinformation from spreading any further than it already has.

Sources:

WHO Global Health Estimate on Depression and Other Common Mental Disorders: https://www.who.int/publications/i/item/depression-global-health-estimates

The WHO World Mental Health Surveys International College Student Project: Prevalence and Distribution of Mental Disorders: https://nocklab.fas.harvard.edu/files/nocklab/files/wmh_ics_prevalence_final.pdf

The epidemiology of depression across cultures: https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4100461/