Intelligent people can deal with depression. It's called emotional intelligence. No, it's not because I can't grasp what can go on, it's simply that what occurred was fucking stupid.
Emotional intelligence is not relevant to this, nor does an IQ save you from depression. The idea of EI/EQ itself is not even developed enough for you to try to use it as a subjective means to judge a person's ability to deal with emotional issues. This very ability is not determined by intelligence alone, because I can validly state that "dumb" people can deal with depression too. Someone you'd consider an absolute fucktard will inevitably deal with a certain stressor better than you can. Any coping with a mental health disorder is far more complex than you give it credit for, and all you're saying right now, contrary to what you claim, shows you actually have a feeble grasp of depression, let alone psychology in general.
But just to humor you, I'll say Stephen Hawking is not exactly a paragon of social manner, but he's considered intelligent by many standards. That's an area EQ is trying to be developed to measure - social skills. Hell, if IQ = EQ, you'd probably have a sense of empathy, and chicks would dig the brainy nerd. You know that's not how it works... hopefully.
Let's go another step further: Dude with huge muscles is strong. He catches Ebola and dies. Is he weak? Physical conditions are easier to grasp in that we have diseases that are just that lethal. However, if you also read the entirety of my previous post, you might catch the notion that everyone's emotional immune systems are very different. One person's Ebola is another person's cold, if even that.