It was terrifying. The market goes down most days; sometimes it has a brief rally then sinks just as your hopes are up. As time goes on, months and years of declines, the time when the market went up every day seems like forever ago. Maybe things really are different this time; that's been true for other countries. Japan has had a stagnant stock market for three decades, why not here? We've had a Great Depression, after all.
Job and income play a part: Once I lost my job at the same time the market dropped. Another time I watched as too many friends were laid off, and big employers froze hiring. It's not easy to keep shoving money in a dwindling market when you may need the cash next month to pay rent. Or eat.
Even the people who believed in the market and buy-and-hold begin giving up.
I strongly recommend reading The Great Depression: A Diarty by Benjamin Roth, a lawyer who wrote the diary as things happened without knowing when, or if, they would get better. There's a heavy focus on economics: the stock market, bonds, employment, things like that. It's eye-opening.
I don't know the numbers but I read The Great Depression The Diary and it was clear people were more frustrated in 1937 than any other time however they admired FDR for trying something: https://www.amazon.com/dp/B002TJLEVE/ref=dp-kindle-redirect?_encoding=UTF8&btkr=1
Edit: the free audible section discusses the 1937 "recession".