Interestingly, this piece sounds to me less like depression and more like a complex, dramatic, romantic kiss scene from a movie.
It has a sad vibe, sure, but that's not what came to my mind at first.
Considering depression can feel less like traditional sadness and more like a painfully numb, low energy struggle (speaking from my own experience, here) I think the saying "less is more" would apply here. What you did isn't necessarily wrong; I can't speak for everyone with depression. That said, I personally think it could be more powerful if you pulled both pulled back on the arrangement and, as an aside, made the song longer.
I'm giving this the rating of 2 1/2 stars not because I dislike it, you understand; I really like it. I'm rating it this way because I feel the message of a "downward spiral of depression" got lost. I want this piece to succeed because I think it has potential to. It just needs a lot of work to get there.
I hope this helps. :)
More info about how I review music here: https://codefreq.newgrounds.com/news/post/1089806