The real world can be tough, horribly unfortunate, and cruel. Lousy circumstances can break any person's spirit but this is where that sense of belonging manifests. Say you had a bad day at school. Maybe somebody teased you about your raggedy clothes, or bullied you into giving up your snack, or maybe you got in trouble with the teacher. Whatever the situation was, you were now upset, maybe even depressed. You didn't want to go outside after school, you wanted to go home and be alone because when you were alone, you were not being judged, teased, or abused. Of course, this left a void....I believe this void is the reason we turn to video games.
You finally fit in. Whether you were saving princesses, defeating some resurrected evil, or simply trying to beat your friends to the finish line, you belonged. You had a purpose! You were the hero that the kingdom expected to save the day. You were the underdog everyone cheered for. You were important. Nobody could call you weak or useless, nobody could bring you down. This is the belonging you needed. Through this medium, you could pick yourself back up again and hopefully apply it to the real world.
How could you be depressed when there was a whole world waiting for you to save them? It is easy to be swallowed by the increasing pressure of real world stress so I think being able to go into a world where none of that matters and immerse yourself in it is a fantastic way to dig yourself out of depression. Not only was this an escape, but also a learning tool with regards to handling certain situations in the real world. Anytime you got pushed down you could think back to when your favorite character got back up and stood his ground. Not to say that you should pounce on the bully, but that your mentality was strong and determined not to let this person bring you down.
What was your first game that let you escape reality and gave you a sense of belonging? Did you still get that feeling as you became older?