The county-by-county map above shows the percentages of residents who reported "Frequent Mental Distress" (FMD)--defined as 14 or more days of emotional discomfort, including "stress, depression and problems with emotion," during the previous month. Of note, Kentucky was the "saddest" state while Hawaii was the "gladdest".
And the map:
Strine, T. (2004). Risk behaviors and healthcare coverage among adults by frequent mental distress status, 2001 American Journal of Preventive Medicine, 26 (3), 213-216 DOI: 10.1016/j.amepre.2003.11.002