In 1937, the American economy, which had been slowly rising from the depths it had reached in 1933, suddenly reversed course and sank once more. While this new economic trend enlarged the misery of the American people, it also gave the economists a new problem: what to call it.
Since the start of the 19th century, an economic downturn had been called a depression, but in 1937, the country was already in a depression. So the economists, probably delighted to have a problem they could actually do something about, pressed the word recession into service. Because of the iron law of euphemism (weak terms drive out strong ones), recession took hold, and we have not had a depression since. Today that word effectively belongs to the 1930s and, indeed, is often capitalized to indicate its now unique meaning.