Depression and anxiety are very common among gay men, and some of the most common reasons why some gay men feel depressed include the homophobia surrounding them of the feeling of guilt. I have many gay friends that use to feel guilty about being gay, because they believe they have not only disappointed and saddened their family, but also their friends. However, this isn’t a general rule. When it comes to depression, it is classified in chronic depression and severe depression. Fortunately, both of them can be treated.