Could Sanctions on Russia cause a Great Depression in Europe and Russia?

The short answer is of course: "Yes"

However, the longer answer might be: "Though the short answer is "yes" it isn't very likely. First of all, likely France, England, the U.S. and Canada and other nations would be able to prevent this for a variety of reasons.

However, yes sanctions on Russia even though they are an "Economic Warfare" tool could get out of hand and create unexpected consequences both economic and military.

But, if you want to blame someone for this who do you blame. Do you blame Russia? Or do you blame Europe? Or do you blame the U.S. or all three or is it something else beyond this even?

However, there is always the danger of "unexpected consequences" of  almost any action of any person or country or group of countries. In the end this is the truth.