Well, that's the case in Canada at least. In a government survey, the lowest rate of depression (4.3 percent) occurred within the engineering, architecture, and surveying industries.
After the jump the entire list. I'm surprise by how low "mathematical and computer scientists" ranked.
-Personal care and service: 10.8
-Food preparation and serving related: 10.3
-Community and social services: 9.6
-Health care practitioners and technical: 9.6
-Arts, design, entertainment, sports and media: 9.1
-Education, training and library: 8.7
-Office and administrative support: 8.1
-Building and grounds cleaning and maintenance: 7.3
-Financial: 6.7
-Sales and related: 6.7
-Legal: 6.4
-Transportation and material moving: 6.4
-Mathematical and computer scientists: 6.2
-Production: 5.9
-Management: 5.8
-Farming, fishing and forestry: 5.6
-Protective service: 5.5
-Construction and extraction: 4.8
-Installation, maintenance and repair: 4.4
-Life, physical and social science: 4.4
-Engineering, architecture and surveyors: 4.3