its against yiddishkeit to be depressed for it is a direct act of lack of faith in Hashem thus questioning Hashem on the event that has caused you depression. we all know the famous fact about yidishkeit “the good & the bad is all for the good: i.e. everything Hashem does is for the good. the question you need to ask yourself is: where are you holding in your Bitachon & emunah in Hashem? (faith & trust) if you have bitachon in Hashem then you will never question Hashems acts & ALWAYS know %100 that its for the good. if someone questions our father Hashem, he is basically saying that he knows better then Hashem & does not agree with what our loving father did…. & that is a contradiction to yiddishkeit/judaism.
make yourself a daily learning time of sefer Chovos Halevovos (duties of the heart)