Empirical findings describe substantial variations in the prevalence of depression across countries, but lack clear explanations. This study aimed to replicate findings on the mediation of the relation between meaning experience and depression severity by existential anxiety. Second, the mediating role of connectedness with embodied experience was investigated, as well as the direct effect of connectedness with embodied experience on existential anxiety. Finally, the study examined whether culture plays a role in explaining the variations in depression prevalence across countries. Path analysis was applied to the responses of 1,217 participants (Mage = 42,56; SD = 14.250) from 97 countries to a survey about meaning, depression symptoms, existential anxiety, and connectedness with embodied experience (or the ability to “focus”). Existential anxiety and connectedness with embodied experience mediated the relation between meaning experience and depression severity. A significant direct positive effect of connectedness with embodied experience on existential anxiety was found. Connectedness with others tempered the negative association between meaning experience and depression severity. No other significant cultural differences in the relation between meaning experience and depression severity were found. These results confirm the importance of existential anxiety, connectedness with embodied experience, and connectedness with others in the understanding and treatment of depression.
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