What would happen if we faced another Great Depression in the world?
It did happen, in 2008. It just wasn't called a "depression", for the same reason "The Depression" wasn't called a "panic", the previous term for a drying up of credit, loss of jobs, and writing off of bad debts. Unemployment, in actual terms (not adjusted statistics) was actually higher in 2008, in part from a much greater number of retired persons in 2008 than 1929.
If the Great Depression happened again, we would call it a "recession," and then the government would hand out about two trillions to the institutions that were responsible for it, claiming they were "too big to fail." Then those institutions could start tooling up for the next boom/bust/money grab. As for the taxpayers who found themselves in dire straits, they would go straight under the bus. I can state this with some conviction because the so-called "Recession" of 2008 was actually worse than the Great Depression, and that's what happened.