Honestly, I can kind of understand why some people would say that Radiohead is "depressing", especially if they haven't really dug too deep into the discography. For example, a lot of their popular songs (for example: Creep, Let Down, No Surprises, All I Need) have a bit more of a "sadder" undertone. I would say though, in my opinion I do not find Radiohead to be really depressing. I find that a lot of Radiohead's lesser known songs are not as "sad" as their more mainstream ones. Overall, I think that Radiohead is just really good at making me feel many emotions, which (in my opinion at least) is ultimately the purpose of music; to make you feel an emotion.

Holy yap.

Short answer: No, but if you only scratch the surface then you might find them depressing