The suffering of others doesn't negate yours or make it less worthy of attention. Furthermore, just because someone is from a developed country, doesn't guarantee that they will be happy or content with their lives. I have met many people in poor economic conditions who are far happier than those with higher levels of wealth, and it usually boils down to the other conditions in their life such as social connections, health problems or lack thereof, working conditions, etc.
This line of thinking I believe is meant to instill gratitude in those of us who have more, but comparison is the thief of joy. There is no use speculating about what a stranger in another country is feeling when you are dealing with your own problems right here and right now, and everyone is wired differently with unique genetics and biology that will dictate their reactions to their environment.
I will say, I know a refugee who moved from a war-torn country to an advanced first world country and is very unhappy, wants to go home. There are also a lot of economic migrants who seek a better life elsewhere but end up lonely or without a support network, so there is often an element of sacrifice involved, and it might not always pay off.
Everyone is different, so don't think your pain is any lesser just because you had certain economic privledges. Mental pain doesn't discriminate.