https://ourworldindata.org/grapher/share-with-mental-and-substance-disorders?time=2023
https://en.wikipedia.org/wiki/List_of_countries_by_suicide_rate
Mental illness doesnt seem to track this idea. Better or worse countries dont seem to have an identifiable trend as far as mental illness rates - though overdiagnosis in developed nations is likely a significant confounder.
Suicide seems less susceptable to this confounding factor - it isnt up to a culturally biased psychologist to determine if someone is dead or not. And here, there seems to be a general trend that shittier countries have less suicide. Like, not to throw shade, but I haven't heard excellent things about the social welfare programs of Sudan, Afganistan, or Honduras. Really, the biggest trend I see is that colder countries have more suicide. But also, these low-suicide countries are countries that are more culturally conservative (where reporting a family members suicide may be consider shameful) and with unstable governments which may not be the best at collecting and keeping records, so another confounder.
And honestly, I am assuming you are living in a developed nation. So while you are entitled to your existential dread. But at the same time, I feel like you could pretty easily be able to find a Sudanese person willing to trade places