I thought that was one of the strong points in the movie too. Not like Hulk, who resolved everything offscreen
I also felt it was realistic that he'd be a wreck.
In a short time span he:
-Lost his dad
-Killed his sister
-Lost his brother
-Lost half his ship of Asgardian friends
-Lost his home planet
-Finally defeated the man who caused him so much pain and he fails to kill him. As a result TRILLIONS died because Thor didn't aim for the head
So yea, Im sure he'd be depressed.