According to a recent study, job loss is one of the most depressing and stressful events in a human being's lifetime. Perhaps this is because a loss of job might induce insecurity within an individual ("I am a failure" and the such).Job loss also becomes stressful because this may result into financial insecurity. With uncertainty about your your family's future in your head, who cannot be depressed?
For the first reason of depression, a visit to a psychologist might be helpful. For the second one, psychologists cannot help. What people need is to get prepared when it comes. What you need is an Unemployment Insurance.
PA AFL-CIO Protecting Unemployment Insurance