Question

Does anyone know any short stories about depression, drugs, mental illness, life on the edge of society?

Answer 1

Depression: 
"The Yellow Wallpaper" by Charlotte Perkins Gilman
This short story follows the life of a woman locked in her upstairs bedroom by her husband because of her "nervous depression." Written in a journalistic format, "The Yellow Wallpaper" follows the effects the confinement has on the woman and her mental state.
Drugs:
"Sonny's Blues" by James Baldwin
Baldwin tells the tale of a teacher in Harlem surrounded by drugs and alcohol. While the teacher himself manages to stay clean, his younger brother falls victim to heroin addiction.

Mental Illness: <em /><em />
"Signs and Symbols" by Vladmir Nobakov
In this short story, Nobakov tells the tale of a young man suffering from mental illness. After he attempts suicide, his parents try to visit him and are not permitted in the mental institution in which he is staying. His parents decide to take him from the institution, and Nobakov follows their struggles of dealing with their mentally ill son.

Life on the Edge of Society:
"The Outsider" by H.P. Lovecraft
A horror story about the life of a man who has never had contact with another person. Although it doesn't have much to do with society, it tells the tale of loneliness often associated with being an outcast.

Hope this helps!