I listened to Bernanke talk about this once. The academic view seems that things weren't that awful until 1931, when a large Austrian bank failed (Google Creditanstalt), which triggered a wave of global bank failures [1]. The resulting lack of credit was the cause that made the depression Great. When Creditanstalt went down, Dow was off ~50% from its 1929 high, which still happens every now and then. We went through a similar decline during the 2007-08 financial crisis and came out all right thanks to aggressive and globally organized central bank activity. Unfortunately such an organized response didn't happen in the 1930s so the economies kept contracting, and the Dow eventually ended up losing 90%. Check out the charts in that period, it is fascinating.
[1] https://fraser.stlouisfed.org/docs/meltzer/bermac95.pdf