As someone formally diagnosed (as in I went to a professional therapist.... earlier this year, actually) with mild depression on the less grand scale, I believe escaping our reality by using RPG is both healthy and unhealthy.

Healthy: 

  Most situations  during the average human's life span are trivial to a certain extent and we come on here to talk to friends and channel our energy through another entity in a fictional world with no exact repercussion of reality. I find this to be healthy because this energy tends to be used towards loved ones instead.

Unhealthy: 

   However, some situations need to be talked out by a professional person relating to therapy, psychology, psychiatry, or, best xcase scenario, all the above (or in my case, a biblical counselor. Aka, a therapist that uses Christian stuff to help that you talk to for an hour and hopefully get Chik-Fi-La afterwards.) These may even require medicine or even time by yourself for an extended time period to think over everything to the extent of reaching a higher level of understanding. On a less serious note, you can lose sleep which can lead to other more serious things.