
I think it's simply because it's hard to get out of depression. After all nothing changed much, Kim Dan is afraid of losing his grandma, and has no idea of what will become of him after that. It's life in general that makes him feel this way. Nothing was easy for him at all so I think he goes with a spirit that things are adding up to his state and not changing. Idk if that makes sense.
But I basically don't see anything positive that happened to him to make him feel better now.

Um, girl…abandoned by his parents—his only relative is dying which we don’t even know if they are biologically related either. She could’ve picked him up by a dumpster. We don’t know his school life either but after graduating PT school to do residency, he was sexually assaulted by the attending physician which we don’t know how LONG that’s been going on until one day a nurse caught it. Loan sharks whom beat him, and also tried to assault him and lowk sell him. Then he accidentally caught feels for a guy who hired him to be his sex toy. And now he’s going thru the ride of rollercoaster emotions and trying to process it all—mind you the time frame from him “disappearing” from Jaekyung was probably 3 ish months so that’s not much healing. Especially grieving a loved one who is about to die. So shit if you don’t got a support system and healthy coping mechanisms—plus this is Korea, drinking and smoking is your way out lol. Hope this helps.

Depression is a cycle of thoughts and physical systems that basically inflates negativity inside a person, typically relating to "sad thoughts". It's a biological phenomenon as well - so once the cognitive (mind) starts thinking excessively negatively the body will follow suit, making it MUCH harder to escape.
He also has other stresses like his grandma and the fact that he left EVERYTHING behind. Isolation also feeds into it.

Depression is usually a mix of low self esteem, self sabotaging, feeling of hopelessness and not seeing a tangible way out of your situation. Kim blames himself for the spray incident, got his heart crushed by JK, his grandma who is his one and only relative is dying, he has a huge 'debt' he needs to repay so he needs to keep working, and the more he works the more he'll be able to earn.
He was in a rough situation before, but after the whole incident with the spray and JK lashing out at him, that was Kim's breaking point and when he started to spital.
Now that he is addicted to alcohol, on top of the low self esteem and guilt and hurt, his brain sill also lie to him, giving him all the excuses and 'logical' explanations why he shoul have another dring, and with each failed attempt at sobriety it will add to the guilt and will lower his self-esteem, thus triggering the self sabotaging part of the deptession.
People might be hating on Jaekyung, but at the moment, he might be the only reason why Kim is still alive and the only chance for Kim to make it out of this mess.
Can somebody explain Kim dan depression to me?
I sincerely do not understand why he's so depressed and drinking himself into a grave. While I get he made a mistake I get he thinks it's his fault but I don't understand why he's so depressed about it or why he can't get over it. Maybe I'm missing the whole point