For example, we associate the 20s (in America, at least) with prohibition and parties, the 30s with Depression, etc
I can only really speak to the period that overlaps with early photography from the 1840s to 1860s. Anyway, when we think of distinctive decades of the Twentieth Century, we are probably thinking of some combination of historic events, technologies, fashion and pop culture trends. Those can definitely be defined for each decade of the 19th Century. For example people would have thought of events like the revolutions of 1848 as defining the forties politically or the invention of the daguerreotype in 1839 as defining that decade technologically.
A good book for getting a sense of how people viewed the decades of the 19th Century would be Modes and Manners of the Nineteenth Century, which was first published in 1909, so it gives a view of the 1850s similar to how near/distant the 1950s are to us. In the volume covering 1843 - 1878, the author mentions the revolutions of 1848 in the first sentence and the daguerreotype in the second chapter (on the arts). Ultimately he characterized the 40s zeitgeist as: 'For the generation of 1848, however, the National Parliament was the one absorbing idea.'
(This book is primarily about Germany, but fashion and artistic styles had pretty global trends at this point) The author generally felt that the 1840s were marked by conservative and sensible fashion, but art was generally unimaginative imitation of the past as the time was a more politically focused one. 'At the beginning of the forties there fell a lull, and for a while women's dress (women wearing corsets, of course) became as simple and sensible as was possible under existing conditions.' Here is an example of stereotypical 1840s fashions. Here is another example of what people would have stereotyped as simple, conservative and sensible forties fashions. (source for these images is finedags.com).
The author then stereotypes the 1850s as ridiculously ornate and baroque in their sensibility, characterized by the crinoline. 'In 1858 the crinoline reigned supreme, the lower part of the woman's figure having no more shape about it than a balloon; in 1868 the dress sat lightly to the figure and fell straight to the ground without a fold, and was still decent and reasonable.' He also points out the ridiculous 50s hair fashions involving lace mantillas and hair powdered with gold dust. He basically summarizes the 50s and early 60s as characterized by bad taste defined by excessive ornamentation, 'articles which were thought beautiful in the fifties and sixties were the more offensive to good taste as the ignorance shown in the designing was exceeded by the utter lack of appreciative feeling for the material. Various industries were all ready to offer their make-believe productions : zinc casts for bronze...' Example (note how even the picture frame has become much more ornately shaped) fashion of the period, lots of ribbons, lots of lace, lots of gold, wide voluminous sleeves, ornate hairstyle, big skirt etc.
I don't have the breadth of knowledge to summarize every decade of the 1800s, but that is just one example where people felt -very- differently about the 1840s than the 1850s and had very simple and defined ideas about what each decade was like.