Retirement not of your choosing can definitely cause depression. My neighbour was fired(?) because he turned 75, and for months he shambled around like and old man without anything to live for.
Many years ago I was retrenched - but given 6 months notice. It was extremely difficult to work during the remaining six months - I'm not sure I would wish that particular hell on anyone. However, being retrenched and taking a long time to get a job is even more dehumanising. I once interviewed someone (we were going to give him the job before the interview - he was the only person suitable, and he was very suitable) who had been retrenched eighteen months previously. He couldn't answer any questions, and had been rejected so many times that we just couldn't hire him. I have interviewed hundreds of people since then, but that interview still haunts me.
For OP to have gone through that sort of experience twice and to have ended up with a job both times shows real resilience, and I can understand why he (I'll make an assumption that OP is male) is concerned about retirement, and worries if it will be a similar experience. I had similar concern - I think anyone who has been unemployed without intending to be would be worried.
When I was thinking about retirement I treated it like any other project. I worked out what my fears were, and solutions to those fears; what would make me happy in retirement; what I would do... I read a lot of books, and thought about what made me happy. I made a plan, which started before I left work.
For instance, I decided that I didn't have friends, and I needed them. You can't just go up to someone and say "Will you be my friend?" like a three year old (in some ways, it would be nice to be a three year old again). I decided that I would join groups (competely different, so they had different people in them) - one every six months. I planned to retire in three years, so I would be a member of at least 4 groups (two mightn't have worked out). This didn't work out in the way I planned, but I do have friends, so the basic problem was solved.
If I hadn't been so miserable at work I may not have retired, since I did have a few concerns about retirement - very similar to OPs. However, retire I did, and it has been absolutely fantastic. I don't think I ended up following any of my plans, but thinking the problems through and making plans allowed me to be much more sure that retirement would work for me - and I always have the plans up my sleeve in case I need them. It has been four years of bliss - and there has been no return of the depression that had haunted me. I am deeply happy, especially since my father got very ill and my parents are now very frail, and need me to visit frequently. I don't think I could have managed work and my parents' needs, whereas, being retired, I can drop things and go to them.
Being largely self-employed and "retired" would mean you wouldn't need to worry if the business didn't work out, and you could reduce or increase your workload as you felt like it. You would always be a success, because there are really very few people who actually have frugality and commitment to make it through to FI! In fact I think it is awesome that you managed an 18 month unemployment stint without unemployment benefits. You rock!