Considering all the bad PR she has and the stereotypes about her species floating around, her depression is understandable.
The worst thing she's ever done in the series is throw a white branch that looks vaguely like a bone at someone as a prank to scare them(the usual touhou youkai activities), then everyone goes around thinking she's a serial killer. Zun's little joke in that interview transcript about the atmosphere she gives off doesn't help matters much either.
