The show isn't depressing
It's dark, certainly. But consider for a second that by the end, the good have been rewarded, and the cruel, indifferent, and selfish wallow in their anguish.
Those who suffer for any long period of time are usually shown to be the instruments of their own torture.
It's a little more graphic in its depiction of the fallen then say David and Goliath, but the message is the same. Persevere, be a good person, and you'll be saved.
I mean would Dante's Divine Comedy have been quite so beautiful on its angelic leg without the horrific reflection of hell as contrast?
"It's like in the great stories, Mr. Frodo. The ones that really mattered. Full of darkness and danger, they were. And sometimes you didn't want to know the end. Because how could the end be happy? How could the world go back to the way it was when so much bad had happened? But in the end, it's only a passing thing, this shadow. Even darkness must pass. A new day will come. And when the sun shines it will shine out the clearer. Those were the stories that stayed with you. That meant something, even if you were too small to understand why."
-Samwise Gamgee