My caveat to this answer is that it would be hard to disprove that video games can lead to increased depression/anxiety/aggression in certain individuals since there will be at least some individuals that are more prone to these effects compared to the rest of the population. So I want to specifically address the elements of the claim that are generally applicable (or has been observed) in other areas of addictive behaviour that seems to be true in the context of video games.
As someone who works in the IT sector, it is a well-known fact that many mobile and online games are designed to introduce or reinforce addictive behaviour, especially in younger children (e.g. Fortnite), and there are articles like this from the Child Mind Institute that advise parents on how to deal with these scenarios by explaining the potential cause. I would like to think that this is a side-effect of creating content that will generate more revenue for the business rather than those companies specifically exploiting the type of interactions that will increase addictive behaviour. Having said that, with more user research and testing being done than ever before these days, companies have access to analytics and qualitative data that can definitely help them hone in on ways to influence the behaviour of end-users.
It is known that addicts can suffer from withdrawal symptoms when the element that they are addicted to is removed from their system (e.g. drug or alcohol addict). This can result in aggressive behaviour as they deal with the physiological and psychological changes (e.g. opiate withdrawal symptoms). Anxiety may be a precursor to aggressive behaviour, while depression may result from other factors that contribute to the development of this particular state of mind.
So it is not hard to see that there can be a narrative that connects the dots between companies designing games to induce certain behaviours, with the aim of increasing profit and the consequences of users suffering from unintended 'side-effects'. This tactic was used by the tobacco industry, we have seen it being uncovered as we understand more about diet and the increase in sugar consumption, and we have also seen trends that have been linked to the rise in social media usage. Sooner or later there will be more data points to make the connection to video games as well.