"Dismal" describes the situation but has nothing to do with you. "Depressing" describes the effect that the situation has on you. A dismal situation can indeed be depressing, and vice versa, but there is no necessary link between the two. For example, the weather can be dismal while you are having a fantastic time indoors.

Yes, dismal is a somewhat common word.

"Dismal" es más peor que "depressing." (In my opinion). Sí, esa palabra es bastante común, pero no se escucha todos los días. "Depressing" esta casi la misma palabra, pero es más común.

yes this is a word that is used

As others have said, "depressing" is undoubtedly more common. That doesn't mean it's always the better option of the two, in a given scenario. If you're taking an advanced exam, you might not want the most common answer. I for one don't consider the word "dismal" to be low frequency, and certainly not useless. When everyone limits their vocabulary to the most commonly used words, we're setting up a pretty dismal future for literature and discourse.