I touched upon the topic in a few past answers, although there's always a lot more that can be said (especially regarding individual causes, consequences, and global spread).

The short answer is that gold backing of currency was an outdated and crippling ball and chain on the financial system. You can read about that in this answer of mine from a few years back. I also answered a similar question here which you might be interested in. There's also this slightly more simplistic answer looking at the mechanics of the stock market and the famous crash of 1929, which is often associated with the Great Depression.