If you would base happiness on the satisfaction of how they live their lives, Finland can be considered the happiest nation. Happiest does not mean that the people in Finland do not get depressed. It is more of how satisfied they are with their way of living. Are they happy with the benefits that they are getting from the government?
Are they happy with their jobs? Are they satisfied with the amounts that they get when they retire? There are a lot of nations right now who seem to have it all but because the people there are never satisfied and are always aiming for more satisfaction, they never become happy with what they have.