Hah, Chris Nolan doesn't know the meaning of the word "light-hearted" when it comes to films. Just goes to show how much being a big Hollywood director hasn't changed him one bit.
I mean, in Memento, you find out at the end that the protagonist has been lying to himself the entire course of the movie, is being manipulated by other people to suit their own ends, and will never find peace in his life. In The Prestige, you discover that one of the protagonists has been essentially drowning himself every night for who knows how long, and that the other has been living half of a life with his twin, and oh guess what, his twin's dead.
TDK being depressing is just the mark of Chris Nolan, as far as I'm concerned.