Actually my impression is that poorer people are more likely to be depressed. Consider the high rate of suicide among poor Indian farmers, or the high number of homeless with mental illness.

A quick google search for studies of the correlation between wealth and suicide seem to confirm my view, eg "a 2009 Gallup survey [shows] the rate of depression is nearly twice as high for Americans making less than $24,000 a year than it is for those with annual incomes above $60,000." Of course, the real story is more complicated: It seems the correlation is much less clear for poor regions than for poor individuals, and I saw some suggestions that poor people living next to wealthy people were more likely to commit suicide.