Why do people use Alcohol/Drugs to hide their depression?

I feel like alcohol/drugs is a coping mechanism. When someone is using alcohol or drugs they have a fleeting high that makes them feel better, even if only for a moment.

Because sometimes it feels as if it is your only escape. When your emotions become seemingly too much for you to endure anymore, and you can't see anything positive in your future or the world, you turn to drugs as a means to feel nothing. It's a temporary solution to a recurring problem. If you lack the ability to see your potential and value in life you resort to hating yourself and temporarily fixing this distress in a self-destructive way. You begin to not feel "normal" without the use of substances. You have to learn that trying to fix an internal problem with an external mechanism will never work. Go within yourself.

a lot of people use them to get out of themselves to allow themselves not to feel

This will be a very personal answer on why do I use alcohol/drugs when depressed. The way I experience depression is a combination of emptiness, hopelessness and helplessness, with emptiness dominating. It's an emptiness to such an extent that I start doubting that I exist at all. I simply don't feel anything, I don't care for anything. Then comes in the substance. It enhances some senses, it initiates reactions, changes my overall perception and I get interested in what is it that I'm feeling, I start to react to the environment. So to me it's not about hiding the depression, it just provides a short period of time when I start to feel that I actually exist. It also makes me a bit more social. Of course you pay it back on the next morning, as when the substance leaves your bloodstream it takes the feeling of existence with itself, and the depression hits you even worse. So to make the point, in the end I never thought a substance use was a good idea, especially when depressed.