Search strategies for environmental health data apply to all other health data. The first step is to think about which agency or organization will sponsor the collection of the data. Then you can use either the name of the agency/organization in a search query ("depression statistics AND CDC" or explore their websites to learn what datasets have been collected by them.
Major agencies and organizations that collect mental health data are:
Welch Library regularly offers a class on finding environmental health data. Below are the slides of the class "Environmental Health Data" on December 10, 2020.
The recording will be available by February 1, 2021.