Different countries reacted in different ways during the Great Depression (started, I think, by the 1929 stock market crash). In the United States, things stayed really bad until the New Deal started to take effect in about 33. In Australia (where I'm from) there was no stimulus (because we were in a balance of payments crisis and the option wasn't available) until World War II (1935), and, well, the Depression lifted.
So, yes, lockdowns are bad and dangerous. However, so is unbridled virus spread: deaths, hospitals overrun, then the panic buying, the stockpile of guns, social panic and we start to head toward Mad Max territory. So let's not do that, ok?
However lockdowns with the right economic stimuli, and, well, maybe we have a way forward.
BTW: Sweden is not doing this either, they are partially locked down, just not as solid as many other European countries.