To begin, I have you in my prayers. If you're struggling with depression, I know it's a real obstacle.
I'd like to point out that depression is a loaded word. It can mean many different things and be brought on for many different reasons.
I've brought up in the past that I struggled with depression back in 2009. It's no special case since many people struggle with it, nor was it something traumatic that took place in my life. The short story is that I was diagnosed with epilepsy and the medication for which the neurologist prescribed made my serotonin level imbalanced which made me fall into a very deep depression. I contemplated suicide and was not like myself.
Ultimately, my family (many of them have also struggled with serotonin imbalances--it often times is genetic), recommended I speak with my physician. I did, I switched epilepsy medications, went on anti-depressants temporarily (which can do good depending on the individual) and I was back to my old self.
This was only my situation, and I'm not suggesting doing exactly as I did because they're not all the same. However, 1) it's not something that ought to be taken so lightly because it could be a real problem, ans 2) it's not always something that could simply be prayed away.
Am I suggesting prayer alone can't fix it? Of course it can! But getting a depressed individual to do something can sometimes be a real struggle, and it does require others to help, whether that be reaching out to the individual, offering advice and comfort, and of course, praying for the person who is in a depression. If the depressed person is capable of offering his prayers to God, then always keep it up.
I was at a get-together recently with some people. My sisters friends were there. As we were all talking, one of them said that as Christians, we have a responsibility to be joyful and show it off to the world to display what God can do for us...
It sounds nice, but I disagree with her. Many of us are blessed enough to have a pampered, coddled life, but for some of us and especially those who are under serious persecution and facing suffering and death, this is not something so easily done. In fact, Christ told us to take up our crosses and follow Him (Matthew 16:24-25). To think joyfulness is the natural response to being a Christian is an insult to those who truly suffer. I'm not suggesting we should strive to be depressed, but I am saying joyfulness is not quite the natural response.
Sometimes, our faith can be a roller coaster. It isn't static. Sometimes we may struggle with doubts, or get angry with God, or question why we must do what He says to do. Some more than others.
Don't let depression dictate what you know to be true. Don't believe for a moment that you are failing God because you struggle with depression. And don't believe for a second that God cannot help you...but if it's really bad, it is very important to reach out to someone who will listen -- a family member, a close friend, a pastor...anyone who will take you seriously. Some people won't and will say "Oh, just be happy. You choose how you want to feel." The truth is sometimes you can't and it's really not your fault. But it is your responsibility to do something about it and make the first move.
May God bring you comfort and peace.