Yeah, that is very interesting. If I had to guess I would have said the mountain states and California would be least depressed while the Northeast would be most depressed. Wrong.
I expected the map, sort of. The most remote areas tend to demonstrate the highest rates of depression because of a lack of human interaction, or of interaction with different humans. For that reason, only Ohio, Missouri and Utah of the most depressed surprise me (for different reasons; Ohio because it has fairly large cities, Missouri because there's nowhere particularly remote, and Utah because my impression of Mormons has always been as a fairly communal group). Rhode Island is less surprising because it consists primarily of a poor city (relative to its surroundings), but it doesn't follow that paradigm.
North and South Dakota surprise me as the least depressed, however.