This is going to be long, but I want to provide some explanation as well as some hope for people who read this...
Christians are no more depressed than anyone else as a group. However, you have to understand what causes some symptoms of depression. You also have to realize something else. You can never "perceive" whether or not another person is depressed...many hide their symptoms behind work, family, job, drink, drugs, every location they can find. ONLY Christians have the true solution for depression...the one Hope. God's Promise.
Depression can be caused by many things, including, as jayemcintyre mentioned, physical reasons. However, Christians are possibly the only group that can fully heal themselves of this illness. However, I must also say this...the devil does NOT want you to break free. He wants you to be cold, lonely, hurt, afraid and alone...so anything that takes you down that path, stay away from. I bring you a Message of Hope, that was created for you by the Most High. Do not be decieved...God has provided for you a way out of your pain...
One reason for depression is overwhelming guilt and burden of sin. If we have been drug down into the depths by sin, our inner self (with the Holy Spirit as pilot) is struggling with our earthly self for control. The represents a tremendous battle which can often be openly visible as depression. How do we overcome that? By opening up to others and to God. Don't hide it. Rebuke your fear of embarrassment, pain or guilt. Open yourself up...admit to God and others in Christ your sin, your pain, your guilt. You KNOW God is there to welcome you with open arms, other Christians are there as well, why fight it? Why bear that pain? "Put to death, therefore, whatever belongs to your earthly nature: sexual immorality, impurity, lust, evil desires and greed, which is idolatry". (Colossians 3:5).
Depression is often a result of our feelings that something is impossible for us. "My life will never amount to anything!" "My spouse will never love me again." "I'll never be able to conquer this depression". This is a fatalistic attitude, and one which Jesus expressly says to leave behind... "Do not let your hearts be troubled. Trust in God; trust also in me." (John 14:1). We fail to trust that God can put things right. We are hypocrites...we say in Sunday School "God can do anything", yet in our hearts we do not truly believe.
This is why faith is so often spoken of in the Bible...when you have a loss of faith, you have a loss of the power of God. Why does Jesus say "I tell you the truth, if you have faith and do not doubt, not only can you do what was done to the fig tree, but also you can say to this mountain, 'Go, throw yourself into the sea,' and it will be done." (Matthew 21:21) THROW YOURSELF INTO THE SEA! Can you imagine that? Then how infinitely small our faith must be that we can not even believe in the promises of God.
And it was God's promise..."No temptation has seized you except what is common to man. And God is faithful; he will NOT let you be tempted beyond what you can bear. But when you are tempted, he will also provide a way out so that you can stand up under it." (1 Corinthians 10:13). That's God's promise! We will never be afflicted beyond what we can bear! All we have to do is have faith in that promise, and even when you feel that your faith is at an end, ask God. He will provide that small grain to pull yourself up by your bootstrap. How do I know all this? I have been there and done just that.
I think many people are ready to give up, to say to themselves "I am resigned that I will not be happy, that I will not be whole, that my life will not be wonderful." That is NOT what God has promised us!!! Do NOT believe the lies of the Mask of the Great Deceiver! Do you want to believe that, or believe what God has promised you? "Peace I leave with you; my peace I give you. I do not give to you as the world gives (with faithlessness and deception). Do NOT let your hearts be troubled and do not be afraid" (John 14:27)
Throw off that yoke of sin, deception and pain. Cast it down and stomp on it. You were not born to a new beginning to be sad, unhappy and depressed. That is what the Evil One wants you to believe. He is WRONG. He is a deceiver! You were Born Again to bring a higher glory to God, and in your depression, how can you do that?
Why have I said all this to you? Because the Lord has told me that some of you needed to hear this, and because I have been there in the darkness, cold and anxious and depressed. And the Lord told me to tell you that "I have told you these things, so that in me you may have peace. In this world you will have trouble. But take heart! I HAVE OVERCOME THE WORLD!" (John 16:33) PRAISE GOD ALMIGHTY IN THE HIGHEST! AMEN!
God has also provided the means for you to take your steps out of the darkness. When you begin to feel down, to have thoughts of failure, depression, anxiety, sadness, hopelessness..you have several means available to you.
Prayer. Pray to God. Give thanks that he is good, that you are alive, and that you are afflicted so that you can learn this lesson to teach others (as I am doing). "Rejoice in the Lord always. I will say it again: Rejoice! Let your gentleness be evident to all. The Lord is near. Do not be anxious about anything, but in everything, by prayer and petition, with thanksgiving, present your requests to God. And the peace of God, which transcends all understanding, will guard your hearts and your minds in Christ Jesus." (Philippians 4:4-7). In other words, you do have things to be thankful for...think on those and give thanks to God for them! Give thanks and praise to God that in your affliction he is guiding you and teaching you.
Reach out to your Christian brothers and sisters. We are here for you. That is what is meant by the Body of the Church. Can the hand help assist the leg with staunching the flow of blood? Of course it can! Therefore, ask your brothers and sisters to help you! Do NOT listen to Satan telling you to say "I don't want others to know I feel this way". "Others think I am strong, so I must not show I am weak". These are LIES! Do you really want healing? Or do you want to live in pain and misery? We, your true brothers and sisters in Christ, are here for your pain. Do not turn us away, as God intended that we would be there for you.
Work on your faith. Remember to pray. Daily. Hourly. If you are hurting, you should be praying (even if you are not hurting, you should be praying, but you can learn that one hopefully). When you have an infection, you are given antibiotics and told to take them all, to not lapse in your medication. The reason is that if the infection is not put under constant pressure, it can spread and grow again. This is no different. Apply the pressure of God to your wound. Give it constant attention. Do not stop, do not feel a little better and then desist. PERSIST until your wound is healed. When your faith is strong, you WILL move mountains. The devil fears that.
I ask God to bless those of you who are afflicted with anxiety and depression and are reading this. I give you a message of hope, I ask only that you work to apply it to your life and be free, and then tell others what you have accomplished.