Are some people too stupid to feel depressed?

I think that question implies the misunderstanding of depression being sad or caused by a bad conclusion that's been reached. Being depressed is a symptom of a chemical underdose of most commonly dopamine and seratonin, which robs synapses of signal integrity. The reason SSRI's both work and take a while to improve the cycle of depression is that they "inhibit" the "reuptake" of these chemicals, resulting in more abundance and better signal transmission between neurons.

That all being said, no stress because too stupid may mean people who are depressed won't know it unless they have a severe case. I imagine getting hurt is still pretty stressful for most stupid people though, so don't bet on it.

Edit: Didn't really properly talk about stress and depression. Abnormally high reuptake is largely triggered by stress. This occurs in both depressed and non-depressed people to varying degrees, but a slow recovery is specifically categorized as depression.

Depression is not this. It is far more complex.
I know two very happy people who are very aware of the state of the world and also actively involved in decreasing world suck, but they're managing to separate their own own life and the state of the world pretty well.
They're both really fucking smart.

Instead of my take on it, here’s an interesting study on the correlation

https://engl105sp2020.web.unc.edu/2020/02/is-there-a-link-between-intelligence-and-depression/

Sure. Just don’t be one of those people that tells others they wish they weren’t cursed for being so smart and “you don’t want to be in this mind”.

I don't think so, but maybe in the extremes. There's some people with such low IQ they have difficulty following cooking instructions on a microwave meal. It might be possible to have such limited capacity that they're immune to depression.

I felt like it might be offensive to include in the original post but I started wondering this as I was watching a lady take care of her little brother with special needs. Both in their 50s and recently lost their father. I could tell he understood that his dad had gone away and he was showing some distress but it made me wonder how well he understands the situation and if that affects their ability to process it emotionally.
All that to basically say I'm wondering if ignorance really is bliss

I don't think so. It seems like dogs can be depressed in certain situations.

Dogs are smart af, confirmed

I’m going to ignore clinical depression for now, and focus more on milder symptoms like doomscrolling induced sadness, hopelessness and mild anxiety. Some people are resistant to these effects because they practice some form of optimism or stoicism. Other people just close their eyes and ignore the horrors around them. Either way, neither of these approaches tells you anything about intelligence.