I went to the link and found the following listings of countries (or in the case of China, just the city of Beijing) concerning rates of mental illness by precentage of the population:
U.S 26.4
Ukraine 20.5
France 18.4
Columbia 17.8
Lebanon 16.4
Netherlands 14.9
Mexico 12.2
Belgium 12.0
Spain 9.2
Beijing, China 9.1
Germany 9.1
Japan 8.8
Italy 8.2
Nigeria 4.7
The average of the European nations listed was a bit under 13.2%, compared with the U.S. rate of 26.4%. There seems to be no correlation between degree of religious conviction and mental illness. Otherwise, one would have to explain why Columbia, which is much more religious than Germany has a mental illness rate of 17.8%, while Germany has a rate of 9.1%. Italy, on the other hand, has a rate of only 8.2%
Also, if religion is the deciding factor, perhaps the U.S.needs to emulate Japan's eclectic mix of Buddhism and Shinto worship. That might bring our rate of 26.4% down to Japan's low rate of 8.8%. On the other hand, were we all to convert to Roman Catholicism, we might get down to Italy's rate of 8.2%. Of course, I'm not serious about either of these propositions.
The degree of government, nanny-state, interference in people's lives would also seem to have no correlation to mental illness rates. Consider that France, with the high rate of 18.4% and Germany, with a rate of 9.1% - less than half that of France - are both welfare states.
Of course, mental illness rates aren't the only measure of quality of life. Consider, for example, whether you would rather live in the U.S., with its 26.4% mental illness rate or Nigeria with its 4.7% rate.
Finally, I might note that the site only dealt with certain disorders, specifically: anxiety, mood disorders (depression, etc.), impulse control problems (compulsive gambling, etc.) and substance abuse / dependency.
Had the study included the U.K., Eire and the Russian Republic, there probably would have been greater rates of alcoholism for the European nations, just as there would be greater rates or seasonal affective disorder had the Scandinavian countries been brought in.
Had dementias, such as Alzheimer's, been measured, higher rates would be found among developed countries across the board, since more people in those countries live to be old enough to suffer such disorders.
I submit to you, DOC, that mental illness rates vary from country to country based on an eclectic mix of geographical factors - alcoholism and seasonal affective disorder being higher in northern countries, situational problems - the study noted the stress of westernization and rampant unemployment in Ukrainia, an cultural factors: The conflicts between Christians, Muslims and Druze in Lebanon probably add to the mental illness rate in Lebanon.