Though I think the issue here is one of immediate happiness vs. reflective happiness. If you have a bad job, at least 8 hours of your day are spent not liking your current situation. (But at least you have a job, can feed the family, etc.) If you're unemployed, your day-to-day life may be less stressful without those 8 hours of teeth-grinding and you get to hang out with your cat a lot more. (But you can't get a job, your kids are going hungry, whatever.) Going from depressed unemployment to a crappy job is worse though, I think because it makes you miserable day-to-day and reflectively too for a while, since you still haven't gotten over your unemployment depression.

Happiness is strongly correlated with income up until $60k or so, then it levels off. If the crappy job is also low-income that just makes things worse.