Depression has far more to do with neurology, environment, genetic predispositions, etc. The idea that serious depression is around the corner if you pick up a Nietzsche book, and can be cured with a happy self-help guru book, isn't convincing at all.
I agree in part Phallus and Wilshire.
I definitely don't think a nihilistic philosophical argument is going to have a significant effect on most peoples emotional state. My experience has been that, for the vast majority of people, rational argument just doesn't penetrate very deeply. You can't argue someone into being sad for the same reason Bakker is unable to argue most people into accepting that free will doesn't exist. Most people's emotions and deeply held beliefs aren't founded on chains of logical justifications.
But that doesn't mean that it isn't possible to make someone sad, it is. You can't reason with someones emotions but many interactions don't try to. Emotional expressions -of affection, acceptance, exclusion, hatred- can definitely make someone depressed or bitter.
I think that intelligence does correlate with depression and bitterness, but not because the intelligent are realists or were converted to nihilism due to reading philosophy. And I'm with Wilshire, I definitely don't believe that it's because intelligent people tried to show everyone else the way and became bitter because everyone ignored them unfairly.
I know my read on this is silly and stereotypical but cut me some slack.
I bet higher intelligence tends to correlate with lower innate social skills. So young smart kids have a harder time on the playground than their less intelligent but more charismatic peers. Rejection reduces these nerd-children's confidence and conditions them to avoid risky social situations in the future. Exclusion and avoidance reduce the amount of practice they get socializing. Over time the social disadvantages compound and the kid ends up feeling isolated and bitter. They have trouble fitting in, relating to their communities, flirting with opposite sex, etc. It's a stereotype but it holds.
It doesn't happen to every smart person obviously. Plenty of smart kids are brave, or lucky, or grow up in less brutal social scenes, and they get the crucial social practice they need to fit in and be happy.
Others form counter culture cliques and find a comfortable niche there. I feel like I meet these kids all the time. They're generally happier than kids who fell into real isolation but they often harbor a general (and in my opinion, unfounded) resentment for popular society.
Why would more intelligent kids have lower social skills than their peers? Either: 1) Because the human brain has limits on the computational power it can alot to different processes. When we refer to someone as being intelligent we are communicating that they are good at a certain family of cognitive abilities; things like abstract thought, capacity for logic, memory, problem solving. Those skills are computationally expensive. So are social skills. It makes sense to me that brains "invest" in different areas of cognition, and that heavy investment in "intelligence" tends to reduce the allocation of processing to social skills.
Or, 2) Intelligent people are just less interested in socializing than less intelligent people. Maybe the whole world is just way more fascinating for smart people, and so as children they invest less time trying to figure their peers out, because they are focused on figuring everything else out.