Why are hoodies so often associated with depression?

Because depressed people like to wear hoodies. It gives you a sense of shelter, and a desire to feel secure is why depressed people often stand in corners, or look worried, or have a defensive or nervous posture. Sometimes depressed people are afraid of things people did to them in their past, or sometimes they are afraid that people will find about part of their life that they want to keep hidden. Hoodies protect the back of your neck, and act almost like a security blanket in a way, giving a sense of comfort.

This doesn’t mean that all people with hoodies are depressed; it just means that many depressed people like to wear hoodies.