Hello,
It is most unlikely that waxing can lead to depression. I think it's the pain that you are not able to tolerate which may lead to disturbance of your thoughts and you might be sad for a while.
One should not confuse sadness with depression. Sadness is a normal emotion in human when the encounter uncomfortable situations. Depression is more a disorder which which a person encounters for a longer duration of time, it not only includes sadness but also it disturbs others various functions of the life.
Next Steps
If you want to continue waxing of your skin then you should accept the pain which comes with procedure. or ask the person who does waxing to perform the procedure in a way that you get less pain.
Health Tips
some of the techniques which can help us to lead a happy and relaxed life
1. look at the positive side of your life and strengthen it
2. learn to take things as they come and accept pain and sadness is a part of a life
3. start building relationships have good family life and good social activities
4. do regular physical exercise
5. practice yoga and meditation
6. practice mindfulness
7. learn new skills
8. visit places of your choice
9. take help from a expert who can teach you life skills
10. we humans are not perfect, we should not be very hard on yourself, we should accept our limitations and improve ourselves and decide to be happy