If what you say is true (and a brief Internet search suggests there is some evidence to support it), it's because the world has changed in fundamental ways to make them so.
It has been only about 5 generations since the "Greatest Generation" of the WWII era, which some psychological measures suggest really was unusually well-adjusted. That is far too short a time for any sort of massive genetic shift to occur. And if we're going to blame a relatively young relatively powerless group for their sufferings...well, that's just cruel and stupid.
What I ***think*** has happened is that Millenials are smart, perhaps too smart for their mental health. Previous generations had grand ambitions to shoot for. Some of them were real (make the world safe for Democracy threatened by the Axis powers). Some of them were fake (technology and financial innovation will make everyone's lives better). But they had them.
Millenials don't have those illusions or grand ambitions. They ***know*** The American Dream is bulls**t or, at least, only a limited number of semi-randomly assigned "winners" can achieve it. They ***know*** a lot of the seemingly limitless economic growth of the past few generations was based upon unsustainable exploitation of resources (both physical and human) and massive debt inflation. They ***know*** there is going to be grand reckoning as humanity runs into Peak Oil, Peak Potable Water, Peak Arable Soil, Peak Human Labor Demand, etc. and the battles between the "haves" and "have nots", both within societies and between societies, grow ever worse.
And WHAT in their life experience has prepared them for the pain and depravation that's looming over them? It's no wonder they're neurotic. Wouldn't you be?
