Fancy a thick slice of Depression Cake? Which is why I was curious about the Great Depression Cake—which also seems suitable for the state of the world today. Depression Cake originated in the United States during the Great Depression of 1929, though it has been referred to as ‘War Cake’ in texts dating back to World War I. Depression Cake originated in the United States during the Great Depression of 1929, though it has been referred to as ‘War Cake’ in texts dating back to World War I. (Photo: Rajyasree Sen) Depression Cake originated in the United States during the Great Depression of 1929, though it has been referred to as ‘War Cake’ in texts dating back to World War I.