Depression is probably the most useless emotion for a story character. A depressed character doesn't do anything. The very connotation - to flatten out - shows what happens.
I once role-played a manic-depressive named Pip. She shows up in the Star of Justice sequel. At the start of every "day" and after every traumatic event (like a battle), I rolled 1d6 (that's jargon for a six-sided die) to see whether she would be manic or depressive.
Manic was fun. Not for everyone, since she tended to do really stupid things in her manic state, like whistling happy songs while they were sneaking through enemy territory. Pip in her depressed state was not so fun. The only reason the party didn't abandon her at those times was she was their only cleric (source of healing spells). Chuckle. Too bad for them. Good for Pip.
Therapists tell us depression is anger turned inward. I buy it. It's the inward part that makes it useless for the writer. A depressed person doesn't perform great, heroic deeds. A depressed person doesn't think deep, philosophical thoughts. They don't do much at all, really, because they're depressed.
One good use of depression is as a respite from anger. If depression is the flip side of anger, it is natural for both to appear. Anger drives Caissa for a while in Star of Justice. When anger wears her out, she becomes depressed. She jumps between the two for a while and we get some interesting results. I don't leave her in depression, though. If she wallowed there too long, she would lose all motivation to seek answers, and what would happen to her story?
Stories are about emotion, and depression is an emotion, so you can use it. But use it with care in your major characters. It's one of those that a little goes a long way.