How about "You are all right!"
Everyone here has a valid point, but I think each is only presenting part of the truth of the issue.
First, depression is not like a broken bone or cancer where we can SEE physically what is going on and work with it physically.
The first case of depression we see in the Bible is Cain's, and here is God's response to it:
Then the Lord said to Cain, "Why are you angry? Why is your face dowcast [which was the idiom for depressed]? If you do what is right, will no not be accepted? But if you do not do what is right, sin is crouching at your door; it desires to have you, but you must master it."
Keep in mind that this depression was in reaction to something, number one, and, number two, it occurred before the built up of mutations had infected the human race with which we must deal today.
So for this kind of 'reaction depression' the Lord's word still holds -- do what is good and don't let the sin that follows close behind master you.
Malcolm Bowden and Dr. Robert Law, following along this line, wrote a book called "Breakdowns are Good for You!" in which they argue that guilt over sin is the primary root of all mental illness and depression and should be treated that way.
While they have a point in a number of cases (that selfishness is the root of most mental illness), I cannot go along with them all the way, not only for some of the reasons stated above, but because of a very interesting experience of my own.
From the time I was quite young and needed to have dental fillings done with the help of local anasthesias, I would end up coming home and within hours be sobbing on my bed. My parents figured it for hypochondria and told me to shape up. Gradually the crying would stop and I would feel normal again.
This never stopped. About ten years ago, and this was in my mid-forties! -- a dentist listened to my tale of woe and said, "But it's quite obvious. You are reacting to the breaking down of the chemicals in your system!" The chemicals themselves, no, but the products of their absorption into my body, yes. It was so bad that there was a time my twenty-one year old son refused to leave my room the day after a rather fierce dental appointment for fear I would commit suicide!
In a day it was gone and I was back to normal -- which is pretty cheerful and upbeat and energetic.
So we know it can work both ways. Selfishness and guilt can lead to depression by CAUSING a chemical inbalance in the system. However a chemical inbalance can be initiated otherwise as well and lead to incredible depression -- hopefully short-lived.
We know the first cause is from the beginning of the human race.
But why the second cause? Because we have something called a genetic load which has built up so incredibly in a few thousand years that there is no one alive today with a 'healthy' genome (genetic package). These people may find themselves easily plunged into depression even when their minds are telling them that is a ridiculous reaction. Do these people need short-term or long-term medical help? Absolutely.
But these people are, medically, very few as well! Most of us become chronically depressed or mentally ill for the very reasons Bowden and Law elucidate: guilt and selfishness. They take their toll on us. We were created to love, and that means putting others ahead of oneself. When we refuse to operate as we were created to operate, the machinery suffers.
Demonic involvement? That is still not impossible, but demons are normally not needed to do what we are quite capable of doing to ourselves.
Hope that helps stop the fighting a little...