I'm not feeling particularly depressed at the moment, but it's something my personality tends towards in general, and I was just talking to someone about it by email. I thought I'd collect some thoughts here.
A lot of people are deceived by what I call the "emotional prosperity gospel", that Christians should expect be happy all the time. Many of these people would never be deceived for a minute by the financial version of the prosperity gospel—that Christians will become rich. But both are based on a superficial reading of the Bible which totally ignores the fact that Christ was "a man of sorrows, and acquainted with grief". The prophet Isaiah, speaking of the one who was to come, writes this dialogue between God and our Messiah:
He said to me, “You are my servant,
Israel, in whom I will display my splendor.”
But I said, “I have labored in vain;
I have spent my strength for nothing at all.
Yet what is due me is in the Lord’s hand,
and my reward is with my God.” (Isaiah 49:3-4)
This is not, of course, the end of the passage. God's plans do end with joy. But depression is often found in the middle of things, in the difficulty and orneriness of life.
The emotional prosperity "gospel"—which is really no gospel at all—ignores that the Prophets and Apostles often had emotional poverty as well as financial poverty. 2 Corinthians makes it clear enough that St. Paul was not always happy, even though he found joy in his sorrows.
We live in a fallen world, and our bodies and minds are broken in various ways. Emotions are physiological, not just spiritual; our bodies affect our minds and vice versa. So depression is partly a medical issue. If the chemical balance in our brain is off, it can cause us to feel sad, or withdrawn, or lazy without being able to help it. This web comic is famous for its accurate depiction of what severe depression can be like:
Because depression is partly a physiological issue, there are physical changes which can be helpful. Many people find that getting better sleep, exercising more, and/or making dietary changes can help. I get seasonal depression in the wintertime, and in the evenings, and I have a lightbox which produces bright light, which I occasionally use to feel better.
For severe depression, it can be appropriate to seek medical help, such as drugs or psychotherapy. (For talk therapy, I would recommend that Christians normally try to find a psychologist who is also a Christian, if reasonably possible. If you just want someone to prescribe drugs, this might be less relevant.)
This link says more about what to expect if you go to a doctor:
Many people are resistant to doing this because they think if they get help it means they are "crazy". If there's one thing I've learned in life it's that we're all a little bit crazy; people should realize that mental issues are normal and common, and not look down on themselves for being born a human being.
If someone can't walk because they have a broken leg, we wouldn't just tell them to trust God and snap out of it—we might pray for a miracle, but we should also go to the doctor. It ought to be the same when the organ that's broken is our brain. Also, we wouldn't say that a crippled person was "irresponsible" and "immature" for using a physical crutch, if it helps them to function better in their everyday life. So we shouldn't say this about psychological crutches either.
To be sure, the fruits of the Spirit include joy and peace. I would question the faith of a supposed Christian who never found any emotional consolation at all in Christ's resurrection. Despair, a belief that God can't make your life better, that is a sin. And we need to spend time in the Scriptures learning about God's promises about salvation, prayer, and the redemption of the world. But there are many moods in Scripture: it contains Lamentations, Eccelesiastes, and the questioning Psalms, alongside the exhortations to rejoice and be glad. If the Bible had only authorized some kinds of feelings, it would be superficial, unadapted to the world, uninspired. Fortunately, God gave us something better than this. Christ was fully human, not just divine.
Emotions come and go. Depression often dampens all emotions, making it seem difficult to feel anything at all. It is commonplace that "love", the primary fruit of the Spirit, has to be regarded primarily as an act of the will instead of an emotion. I would suggest that "joy" and "peace" are the same way, and that it is possible to be sad or depressed and still have an attitude of rejoicing. And one can't forget that it's the "peace that passes understanding", not the peace that comes from a well-calibrated cocktail of genes and circumstances.
Some Christians have both kinds of peace and are naturally happy and bouncy all the time; that's okay too as long as neither kind of Christian looks down on the other kind for being different from them. Our emotional "set point" is largely the luck of the draw, it's what we do with it that matters. Depression can, at times, be a legitimate response to the fallenness of the world. We are pilgrims on a journey, not yet settlers in our final home. Sometimes we have no choice but to feel sad. But we can try to direct our negative emotions towards the things that actually matter in the world.
God can and does rescue many people from depression in this life. But our faith is not primarily about this life, it is primarily about looking forward to the next, which will last forever. Remember, St. Paul opined that Christianity just isn't worth it, if it only helps us in this life (1 Cor 15:19). This is an increasingly unpopular thing to say in an increasingly worldly age.
But paradoxically, looking forward to Heaven makes us better able to deal with Earth. Earthly sorrows are not as big of a deal, if we know that they are going to come to an end. If we suffer with Christ, we will also reign with him.