All of you spouting midwestern states are showing both your complete ignorance and kind of comical coastal elitism. Depression is almost always mainly from loneliness, and the loneliest places are either those with almost literally no one or very large megacities. (The bigger the city, the lonelier it gets.) The reason those excessively rural states have the highest suicide rates is the suicides are driven entirely by old and middle aged single white men who have access to guns. The social isolation combines with the fact that suicide is a decision normally decided and carried out within 5 minutes, so the fact that they have guns means they can efficiently carry it out without time to rethink their decision. Its actually so extreme in that way that suicides like this are what make places with more guns have more gun deaths than places with fewer; it's not actually crime that goes up!
If you want to look for really depressing places, look for the places with inordinate amounts of people who frequent message boards and social media outside of their actual real friend group of any kind (think letsrun, 4chan, reddit, imgur). That's a sign of loneliness; replacing real interaction with fake internet interaction. You'll also find that places like that are dominated by those on the coasts (and no, I'm not talking about the southeast).
It's true that blue states are generally better governed. But the coastal states have worse cultures and worse people. That makes them more depressing.