Huzzah! Good choice.
As is Jerome K. Jerome’s Three Men in a Boat.
After you’ve had some laughter to cleanse the palate, you can read depressing novels with a clear conscience again.
I think ***The Way We Live Now ***is his best work, myself. Trollope anticipated Bernie Madoff a century before he arrived on the scene. Trollope was a SMALL c conservative, and the closing passages probably give the simplest and best definition ever of what conservatism is supposed to be.
Trollope’s greatest virtue is that most of his bad guys aren’t WHOLLY bad, and most of his good guys are flawed. Sometimes the most likable characters are wrong and the least likable characters turn out to be right.
You might like some John Mortimer, too- Rumpole is wonderful, but I’m recommending his novel Paradise Postponed.
You can get a lot of Wodehouse for free on Amazon, my Kindle is stuffed with Wodehouse, the language is wonderfully sharp, but the plots tend to be very much the same thing over and over again so you need to space them out to keep them fresh.
Rex Stout’s Nero Wolfe novels are rapidly becoming historical novels, they evoke a place and a time (New York, the 1940s-50s) beautifully. People get murdered, but it’s all very much the cozy mystery variety, the real attraction is Archie Goodwin’s sharp observations of the people and society he lives in, and the interplay between him, Wolfe, Inspector Cramer, Fritz and the other regulars.
Fifth Business by Robertson Davies. Simply a great story. Easily in my top three favorite books of all time.
Was going to go here myself; These books are so…heartening. And there’s a LOT of them.
Maybe not for being depressed, but they certainly made ME want to kill myself so I could stop reading them. z.z 
I could also throw out Jim Butcher’s Codex Alera. They’re not GOOD, per se, but they’re not good in that sort of “Yeah, I know the good guys are going to win.” kind of way, and there’s some humor scattered throughout that pleases me.
I came in to suggest Big Trouble by Dave Barry, but Chefguy beat me to it, so I’ll second that and offer this instead: anything by Mary Roach. She writes nonfiction, so maybe it’s not what your usual choice might be, but the books manage to be educational yet wildly entertaining (and sometimes downright hilarous). My favorites by her, in no particular order: Stiff, Spook, and Packing For Mars.
Have you read Jasper Fforde?
John Le Carre - The Spy Who Came In From the Cold
OK, just kidding.
Keep 'em coming. I had the same question myself, though, as a break from factual books rather than from depressing lit.
Someone on this board mentioned a series that folks who like OBrien and Forester would like … anyone know who or what that was?
I’m currently reading Trollope’s Can You Forgive Her?, which is the first in the Palliser novels. Very enjoyable.
I was going to say Yotsuba&! (By the same mangaka.) “Today is always the most enjoyable day.”
I can’t guarantee how that would work, following a lot of heavy reading. I mean, Yotsuba is an abandoned child, being raised by a single man (her adoptive father) who sits at home most days translating*…something*. You might be able to make that depressing.
But it’s really not.
Based on OP’s expressed interest in history and fantasy, I recommend:
D’Shai and it’s sequel, Hour of the Octopus. These novels are set in a fantasy world that draws heavily from medieval Japan. D’Shai can be summarized by saying the protagonist gets mixed up in a murder mystery, but that leaves so much out. The books are full of intricate detail of the caste system, philosophy, magic, and practical politics. Oh, and acrobatics and juggling. Sadly the books are long out of print but you can get used copies through amazon marketplace.
Entertaining and funny novel: Thank You for Smoking by Christopher Buckley.
It might not be your cup of tea, but I absolutely love the Chet and Bernie series, written by Spencer Quinn.
Bernie is a private detective. Chet is his dog. Together, they solve mysteries. Here’s the kicker though - the story is told from the point of view of Chet, the dog.
I came to say Trollope. But I also brought a link: Books by Trollope, Anthony (sorted by release date) - Project Gutenberg so you can start right away.
hth
Might I suggest a series books called The Baroque Cycle by Neil Stephenson.
It’s historical fiction, taking place in the 17th and 18th centuries, and tells of the skullduggery and fanciful plots behind the movers and shakers of that period. It’s pretty light-hearted for the most part and goes into rich detail about living conditions for nobles, pirates, slaves, alchemists, and so on. It dwells into the ongoing struggle of reconciling religious ideals with emerging discoveries in science and mathematics. Should be good for a month or two of reading.
If you like baseball, my favorite sports book: * Fantasyland: A Sportswriter’s Obsessive Bid to Win the World’s Most Ruthless Fantasy Baseball * by Sam Walker.
That sounds fun.