Context: I dabbled in evolutionary biology at the university level, not enough for even a minor in the subject.

My understanding is the existence of selection does not necessarily mean every trait that exists right now has an evolutionary benefit. It is more coarse grained that anything that doesn’t prevent you from breeding is acceptable. Depressed people are not made infertile by their depression, so there will be a subset of depressed people (assuming depression even has a hereditary component). This doesn’t mean the trait of depression has an advantage in order to exist, it just isn’t so much of a disadvantage that it doesn’t exist.