1922 was not during the Great Depression. It was during the postwar boom. Liberals used to love Menken for his contempt for the common man, until his diaries were released in the 80’s, and he was revealed to be a racist, anti-Semetic fascist. Then they dropped him like a hot rock.
What did he say that was racist? It's true that his words today sometimes offend our ears. But given his time in writing this was 1922, he was probably reflecting the prejudices and biases of his era.
Even if you concede that he was racist in certain respects, the was a great thinker across a very wide writing career. For example, at one point he was the foremost literary critic of his time.
Mencken was many things, but a fascist wasn't one of them. He despised Hitler and Mussolini as he despised all demagogues, cults of personality, and power grabs by the government. He opposed Roosevelt and the New Deal because he detected shades of the same tendencies, though not as extreme, in his policies.
As for his "racism" and "anti-Semitism," Mencken made plenty of politically incorrect remarks about blacks and about Jews, often tongue in cheek, the most famous being "An anti-Semite is someone who hates Jews more than necessary". However, Mencken hated the Ku Klux Klan and crude race/Jew-baiting much more than he ever disliked blacks or Jews (one of the reasons Mencken detested Henry Ford was because of Ford's credulous peddling of "The Protocols of the Learned Elders of Zion"). If anything, Mencken was probably less "racist" than the average white American in the 1920's.