Eisenhower gave the speech in 1960 where he said that "sin, nudity, drunkenness and suicide" in Sweden were due to welfare policy excess.
But, according to Bo Runeson, a professor of psychiatry and researcher of suicide prevention at the Karolinska Institute in Stockholm, it is difficult to measure and compare things like depression and suicide as some countries are better at documenting mental illnesses than others and because a lot of people may suffer from depression without being diagnosed.
He says that the few comparative studies that have been done do not single out Sweden as a particularly depressed or country.
"Sweden has a medium rate of suicide," he says. "There are counties that are worse and there are countries that have a little lower prevalence of depression."
A common argument that usually accompanies the myth of Swedish depression is that we're more depressed because of our dark and cold climate.
But while it's true that many Swedes suffer from the winter blues or seasonal affective disorder, Bo Runeson says that seasonal depression has very little to do with clinical depression.
So what about that infamous suicide rate? Are Swedes really more likely to commit suicide than other people?
Nope, says Bo Runeson, a claim that's supported by figures from the European Union's statistics arm, Eurostat, placing Sweden just under the European average at 12 suicides per 100,000 people.
It should be pointed out that the suicide rate in Sweden used to be a lot higher than it is today. In the 1980's it was almost twice as high - but even still far behind top ranking countries like Japan and Greenland.