The mass of men lead lives of quiet desperation. What is called resignation is confirmed desperation. From the desperate city you go into the desperate country, and have to console yourself with the bravery of minks and muskrats. A stereotyped but unconscious despair is concealed even under what are called the games and amusements of mankind. There is no play in them, for this comes after work. But it is a characteristic of wisdom not to do desperate things.
Bravery in this context is likely the same "brave" that is used in the phrase "O brave new world. That has such people in't!" from The Tempest. It's not "brave" as in courageous, but rather refers to handsomeness, beauty, splendor, etc. So Thoreau here is probably saying, "you go from the city into the country hoping to find something beautiful and all you find is a bunch of rodents."