Some people, born with more of an "up" personality, don't have problems with depression. But there are many others; including born-again, Spirit-filled Christians; who suffer from it regularly.

If you are suffering from depression, know that God loves you more than you can imagine and cares about your problem. He doesn't want you to have to suffer with it anymore.

But if you do become depressed again, which you may, you don't need to become guilty or feel condemned over it.

Perfect And Constant Peace
I believe it is nearly impossible to get depressed if the mind is kept under strict control. That is why we are told in Isaiah 26:3 that God will guard and keep us in perfect and constant peaceā€”if we will keep our mind stayed on Him.

If we are in perfect and constant peace, then we will not be depressed. Ninety-nine and nine-tenths percent of our problems begin in our mind.
You will guard him and keep him in perfect and constant peace whose mind [both its inclination and its character] is stayed on You, because he commits himself to You, leans on You, and hopes confidently in You.

So trust in the Lord (commit yourself to Him, lean on Him, hope confidently in Him) forever; for the Lord God is an everlasting Rock [the Rock of Ages].
(Isa. 26:3-4).
Source: Help Me I'm Depressed by Joyce Meyer
Excerpt permission granted by Harrison House Publishers