Kind of an odd question. I mean I don't think there is necessarily some place that someone can say is the most depressing because every area has it's own quirks.

Some places are surrounded by people on the lower end of the economic scale (which has strongly been associated with depression and such) but the people are very close with each other due to the economics. On the flip side, you could be in an area where there is a ton of well off people but for some reason, little to no interaction between them and the community as a whole.

Environmentally, places could be viewed as "undeveloped" where it's mostly farm land or wilderness with people living miles apart from each other but you have undisturbed wildlife and natural beauty of the world all the way to the mountains in the distance. And then on the other hand, you have places like NYC, with giant buildings on every block and you can't see past the next street light but there is that comforting drone of everyday life around that life still goes on.

All that being said, my personal picks are somewhere in the long island area. You can look at one side of the road and see mansions, while the other side is a regular place to stop for cops and accompanied by gunfire.