I will admit I am from the Pacific Northwest, so see a lot of rain. With that disclaimer, I cant recall the last time I found dry lumber at Home Depot. Keep in mind, this is inside the store, not out in some weather exposed lumber yard. There are so many points along the way that allow the pallet of wood to get wet, and once wet, it takes forever to dry since it is all packed together so tightly. Unless you manage to get the top layer from a recently unwrapped pallet that happens to be somewhat dry from air exposure.
When I built my fence, I had a pallet and a half of fence boards delivered. Something like 700 or 800 boards. They were still completely plastic wrapped from the producer (well, the half pallet wasn't, but the whole pallet was). I had water coming out of the screw holes while I was mounting them. The screws were squeezing water out of the wood.
Moral of the story......unless it feels and looks dry to you, don't paint it. You will regret it. The paint will most likely bubble and peel off in big pieces down the road.