Yes, Virginia, Facebook does indeed lead to depression

Why am I not surprised that recent studies have shown that regular use of Facebook can lead to depressive symptoms?
A pair of University of Houston studies was reported in the Journal of Social and Clinical Psychology earlier this year under the title "Seeing Everyone Else's Highlight Reels: How Facebook Usage is Linked to Depressive Symptoms". The studies look at what social psychologists call "social comparison", a common phenomenon which is made even more acute by the fact that, on social media, people tend to over-report the good or exciting parts of their lives, what the author calls their "highlight reels". These particular studies focused on Facebook users, but the same almost certainly applies to other social media outlets like Twitter, Instagram, etc.
So, when we read about people jetting off to exotic locations while we are stuck at home, or when we see that friends are in stable relationships when we are not, or when we look at people's smug #AfterSexSelfie when we can't even get to first base, then our own lives appear by comparison to be so much worse or more boring, leading to feelings of depression and compound any existing feelings of loneliness and isolation. This effect is probably experienced to some extent by most people - unless we happen to be the guy in a stable relationship jetting off to Corfu and posting cute post-coital photos - but obviously some people are more prone than others to full-blown depression.
All of which makes me much more sanguine about not using Facebook, Twitter, Instagram, SnapChat or any other variant of social media. I may be less "social", but at least I am less depressed.