Comedians are known to be notoriously sad people in real life. This podcast hosted by John Moe (who's fought his own battles with depression) tries to understand why that is and the different coping mechanisms that the comedians found in comedy. What's fascinating in each episode is how every comedian went through or is going through a different type of depression from bipolar disorders to a messy divorce to suicidal tendencies. It's not all doom and gloom though, every episode has a bunch of laugh out loud moments. Some stand out episodes are the ones featuring Maria Bamford, Peter Sagal and Andy Richter.
You can find it here: https://www.apmpodcasts.org/thwod/