It has been studied mostly on US adolescents. There is some research on Dutch teens too.
I would say more that this effect is more well studied on US teens so we can say more conclusive things on US teens. In addition, there is some indication that the effect could also be present in non-US teens and should be further studied.
A lot of the research says that social media isn't a cause, but more of a catalyst in the presence of other factors like cyber bullying
This reminds me of similar effects where people attributed misinformation online to mostly right wing people, but it was actually right wing was only a catalyst when a predisponsity for chaos was also present OR when de-policing and federal investigations were blamed for rise in crime when it was only also when a particular district had a "viral" event.
I don't think social media is a causal factor in itself, but it is definitely a catalyst factor in the presence of other things like wealth inequality, clout chasing, and cyberbullying.
I dont think there are any smoking-gun causal studies, but the correlation evidence is very strong.