Similar findings have been reported in other countries with mountainous regions. There is also evidence that all but one of the commonly prescribed antidepressants are substantially less effective at higher altitudes.
Anecdotally individuals in high altitude regions have found relief from depression by using an oxygen concentrating machine when they sleep. The issue seems to be altitude-based hypoxia’s interference in serotonin production in the brain, more of an issue for some than for others. As scientists ritually say (and write), more research is needed.
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On a personal note, the DrsC routinely shift from sea level to 6000 ft. and back each year without becoming depressed. We notice being out-of-breath with any exertion when first arriving in the mountains, but the sensation is mostly gone in a week or so.
My late mother, who lived most of her adult life near sea level, actually noticed feeling better at mile-high altitudes. It may well be this altitude effect is something with considerable individual variation.