An article in Modern Farmer says (HT Bailey Norwood):
It could be that something in the chemical make-up of the pesticide leads to increased depression among farmers, and the article itself speculates about nerve disorders caused by pesticides.
But, isn't it also possible that farmers are depressed when their crops are attacked by pests (which coincides with the application of pesticides)? Isn't also possible that farmers don't like having to pay unexpected bills to protect their harvest from invading pests? This budget from University of Illinois suggests that about 15% of the direct costs of growing corn (about $60 to$66/acre) go toward pesticides. That's the expected cost. Now imagine the cost of an unexpected infestation. Makes me depressed just thinking about it.
None of that is to make light of depression among farmers. But, as the original story revealed, rates of depression among farmers is lower than for the general population. It will take more than these types of correlations in observational data to indicate whether it is the pests or the pesticides causing depression.