Why should the Depression be expected to lead to socialism in the United States, when it didn't in other major democracies? France was under center-right rule except for the Popular Front interlude, and even that was dependent on the Radical Socialist party (which despite its name was neither radical nor socialist) for its majority. The UK was governed by the National government throughout the decade. In Canada neither Bennett's Conservative government nor Mackenzie's King's Liberal one was socialist; the CCF got less than ten percent of the vote in the 1935 federal election. In Australia, Lyons was in power almost through the decade. We all know what happened to Germany (and no, Hitler's "National Socialism" was not socialism unless you view any regime which intervenes in the economy as socialist, which deprives the term of any meaning). Even in Spain where the Popular Front won a narrow victory in the 1936 elections, the Republican Left, a key element of the front, was progressive but not socialist, and many of the "socialist" measures taken by the Republic were the product of wartime conditions.
In the US in 1932 when American capitalism was in its greatest economic crisis ever, the two "anti-capitalist" parties did miserably. Norman Thomas got 2.23 percent of the vote, William Z. Foster 0.26 percent. By comparison Eugene Debs got six percent in the prosperous year of 1912.