I've lived here for as long as you did. I don't find the state depressing. The winters, November through mid-March, have a lot less sun than summer. This is true of all the cities and states around the Great Lakes. I don't find winter depressing. In fact, I love cold and snow. The summers are usually nice. Often humid, but not beastly hot as the south. I think the high this summer in Cleveland has been 91 a couple times and a couple other days at 90. And, we don't get too many hurricanes.
So, maybe it's partly in the eye of the beholder.
Just moved back to the midwest (Indiana) from California. Winter was great, I love the grey skies. Much easier on the eyes than all that sunshine.
Seriously, I got tired of the unending blue skies. It was oppressive having to constantly cover my eyes from the sun.