Regardless of what they called it at the time, the Great Depression started in 1929.
The 1920s had been a time of great prosperity but also a time of a massive wealth gap. Banks made a pantload of money loaning money to Europe to rebuild, the credit system allowed regular humans to buy new kitchens or whatever on credit, and tax cuts benefitted the rich. Harding, Coolidge, and (at the start) Hoover practiced "laissez faire" economics, meaning that the government mostly stayed out of the business business. Businesses and banks took the biggest advantage of that time that they could, resulting in the Stock Market crashing in October 1929, only a few months into Hoover's administration.
Hoover tried dealing with it the way he knew how, with tariffs and so on, but they didn't work well and everything got a lot worse. Unemployment was at about 12% in 1931, then about 20% in 1932, and climbing, and along came FDR. His ideas, the New Deal, spent money to bring relief to people who were broke, jobless, and starving, to stimulate recovery, and to reform the system so the shenanigans of the 20s didn't happen again.
Most historians agree that, while it didn't magically solve the Depression, the New Deal corrected the inequities of the 20s, infused a positive attitude into the people, and put us on the right track. Unemployment, again as an example, rose to its highest in 1933 at about 25%, then dropped steadily throughout the decade as the programs mostly worked. Historians that disagree with that majority view tend to be conservative or libertarian (like FEE dot org, for example) that would have rather we had stuck to the Harding/Coolidge/Hoover economic model.
As for Morgenthau's quote, he wasn't saying that to the general public, but to House Democrats in the Ways and Means Committee. It is an easy (and inflammatory) quote to take out of context to condemn the entire New Deal, but the in reality he was exaggerating if not completely wrong. What they were doing was working, they did make good on their promises, and the unemployment rate was lower than when they started (about 17% by then). I suspect he was trying to motivate them, or something. Who knows, but that one quote does not comprise undeniable proof that the whole system was a bomb.
