Not evidence. Just anecdotal. Half my extended family lives in rural areas.
Cities arent perfect. I'm absolutely stressed over the hectic pace of a large city. But I'm not depressed and hopeless like those I know in rural areas.
It’s also worth noting that not all cities are equal when it comes to stress, with some being worse than others (mostly correlated with quality of public infrastructure, in my experience).
I find that cities just poor enough that not enough of rich people live there (rich people tend to convince the city to regulate how others live their lives which results in stress) but not poor enough that there's rampant crime seems to be the sweet spot.
Cities arent perfect. I'm absolutely stressed over the hectic pace of a large city. But I'm not depressed and hopeless like those I know in rural areas.
Maybe we each have to pick our poison.