Couldn't agree more and it only gets worse the further on you go at University!
I had no issues going through my undergraduate degree. I had my girlfriend and a good network of friends around me and we all shared the same philosophy of working hard but playing hard. There's three groups of people who go to University in my experience - those who go to party, those who enjoy a balanced life and those who hibernate behind a wall of books, essays and deadlines.
During my undergrad, I allocated plenty of time to getting things done in reasonable time. I've never to this day pulled an all-nighter trying to get things done and I was very much an advocate of taking what grade I got and realising my level accordingly. I'm not exactly stupid and I was in the fortunate position where I consistently got decent grades and so this wasn't a stress to me during this time. I know plenty of people who crumbled during this time as grades, social aspects etc didn't go for them and if you've no coping mechanism then anxiety, stress and depression are going to hit hard.
When I progressed to my Masters course, I maintained the same philosophy - I had a good group of friends around me again (many of whom joined the course from my undergrad classes) and my now wife was still an ever-present crux. However, I certainly noticed the demands and pressures which come with University when I started my PhD. I have had the support of my wife throughout the process but it is quite easily one of the most soul destroying and isolated experiences any one person can undertake. I've been hindered by a poor lead supervisory relationship, an office with absolutely zero social dynamic and an unmanageable pressure to meet the bar set by previous "golden" students. Not only that but the PhD is the start of a journey into academia where there are more people than places so not only are you undergoing a stressful transition from student to researcher but you're having to somehow define yourself as elite and go over and above to set yourself apart from the rest.
I've no problem admitting that I've struggled through periods of my PhD. I've fallen to bits on many an occasion, I drink more than I ever used to, I have sleepless nights worrying about things and feel a constant sense of inadequacy, dread and trepidation as to what the future holds. It's only gotten worse in these past few weeks/months as I get to the conclusion and attempt to balance finishing the write-up and balancing job seeking. It's been utterly horrendous the past week or so when I was offered a seemingly dream position but turned it down for personal reasons, thus further fuelling the dread that I'm not going to find a suitable position at the end of it all. In the past few weeks I've noticed a deterioration in my physical health, an increase in alcohol consumption (even more-so than normal) and a tendency to break down at the slightest thing as pressure continues to mount. Hell, yesterday I got home from grocery shopping and discovered that I'd bought conditioner instead of shampoo and that was it. Floodgates open.
My experiences of depression are incredibly mild and I'd never label myself as such but I certainly suffer from constant anxiety at the minute and I've become incredibly intimate with the feeling of being stressed. I find it nice that a lot of posters on here, including some I perhaps haven't gotten on with in the past, are willing to open up, share their own experiences and provide advice. I can fully understand why people with no emotional support network struggle to deal with hardship and some go to very dark places indeed, in some instances to the point of no return. Lovely group of folks we have on here really.