I don't think Infinite Jest is itself depressing, but you'll want to avoid some of the books that came after. After reading Oblivion I didn't feel surprised that he killed himself.
From the wiki:
In general, Marshall Boswell claimed that this was Wallace's "bleakest" work of fiction. In Oblivion, he "uncharacteristically" provides "no way out" of solipsism and loneliness. Boswell further suggested that the collection "repeatedly undermines many of the techniques for alleviation" from loneliness, like communicating through language, that Wallace presented in Infinite Jest. "Oblivion," he writes, "remains unique in Wallace's oeuvre in its unrelenting pessimism."