Our study intends to specify the impact of the singular pandemic stressors on the population and also quantify the contribution of different predictors of depression; some of them are stronger than others, and this research shows how the whole effect is divided into single items. This research included a structured online survey using data from 11,340 respondents from six European countries during the first months of the pandemic. The statistical analysis focused on how behavioural patterns appear in different groups of the population and how they mark the psychological wellbeing of these groups with regard to various factors. We targeted social media’s role and analyzed the impact of its consumption on symptoms of depression in different groups divided by age and other characteristics. The analysis creates a mosaic of lifestyle choices and other characteristics that manifest different effects on depression inside selected groups whereas several groups generated by the cluster analysis are less vulnerable to their effect than others. Regarding our findings, the perceived reality through information sources and the manner of their processing seems to be more significant than the tangible reality (poor self-reported health correlated with depression more strongly than intrinsic health limitations).