I have felt exactly the same about every Nordic (and most Euro) crime show I have watched. The American show, “Jesse Stone” is similarly depressed/depressing. “Lillehamer” is an exception.
The odd thing about “Wallander” is that it portrays the lifestyle of the upper bureaucracy as quite comfortable. No one is happy, but everyone drives an expensive car, lives in a lovely beach home, goes on vacation, has every modern tech toy, dresses well and eats well. Yet, the entire show is dreary.
Right now I’m obsessing on Elementary. I love to watch his mind work and Jonny Lee Miller is very good. Not so fond of Liu but she’s okay. I like her better now that I’ve gone back and gone through the first season.