Absolute nonsense!! I don't live there, but travel to St. Petersburg often on business and it's a perfectly delightful town.
Well, apparently something is lurking under the surface there that causes a great number of people to have troubles with clinical depression. I think that there are probably many cities near the bottom of this list that would be perfectly fine to visit for recreation or work, but sometimes being in a particular place while the years roll by can make a world of difference in ways that may not be readily apparent from a short-term visit.
It could also be that for some of the cities at the bottom of this list, they are simply a magnet, for whatever reason, for people with a preexisting depressive condition. Perhaps they are living in 'city x' and are depressed, and think " I'll be happier if I move to sunny Florida!" and so they move but this doesn't address their condition.
It may have something to do with the amount of retirees in the area. If I'm not mistaken, depression rates are pretty high among the elderly. Only problem is - whenever I visit St. Petersburg (mostly the downtown area), I rarely see anyone under 60.