Many people have written about grad school, often in a comical (even satirical) light. Perhaps I will leave my own detailed grad-school comments for after I graduate (it's safer that way :))
But my view of why it can be so difficult on a person, is that the issues faced and the pressures that exist are more often internal, rather than external. And internal issues are the worst kind of issues to deal with. Why? you are your own boss, you know all the weak spots and how to press on them. Probably no one can be as severe to you as you can be to yourself. Nothing you do is enough.
When an issue/pressure is external, you can distance yourself from it. An internal issue eats you from the inside, and there's no hard shell you can put up in your defense.
As a grad student you have to engage in a very difficult kind of double-think game: you have to care enough about your problems to push through them, but you have to know how to distance yourself from them at the right time, not dwell, and not let them get to you.
The good news is that grad students are the types of individuals that love challenges, and learning to play this double-think game is just one more challenge to be conquered.