[A_Brandybuck]

I do not find the Silmarillion very depressing. Many of the stories in it have a good ending like the story of Beren and Luthien, who got it, that Morgoth must accept a bitter defeat, because of loosing one Silmaril. And the story of Tuor is not that depressing for me, because of the sequel in Form of Earendil.
But the most important point is that I know the good ending of the First Age and the other Ages. Knowing that little defeats leads nevertheless to the good end of the defeat of Morgoth makes me not very depressed. Sadly I forgot, whether I felt depressed as I first read the Silmarillion.

I find the ending of Lord of the Rings much more depressing. It is very depressing to see the Elves leaving. Leaving a world and to know, that they will never come back. To know, that there will never be such a glory how the Silmarillion it describes. Sure there are Men, too. But the main-view is on the Elves.
The Elves are fading and that depresses me...
(And it seems to me, that I am not alone, Tolkien describes his reasons, why he aborted a sequel to Lord of the Rings in a similar way)

But the Silmarillion is very responsible for that feeling, I think, that I would not feel in that depressed way at the end of Lord of the Rings, if I haven't read the Silmarillion.
So I can say, that the Silamrillion is responsible, that the end of Lord of the Rings is a "downer". ;-)