Depression is a direct attack by the oppressor. Do not accept it as part of being a Christian. Lay the depression at the foot of the cross and move forward in your walk.
Read Philippians 4:4-9
There are fewer things more depressing than reading statements such as this, which try to define depression as evil. It's just a stone's throw from the "Disneyana" kind of Christian who thinks that any sort of discomfort is obviously from Satan, because we're the King's kids! Surely God wants the best for us and so any suffering is not part of his plan!
*shaking head* No, depression is not Satanic. No, depression is not always an attack from the evil one. No, there's nothing wrong with experiencing sorrow in its various forms.
The entire book of Lamentations is depressing. The entire book of Judges is depressing. We need to take those books right out, because reading them will cause us to be depressed, and that's not of God, right?
If we go along this route, you know what comes next. Certain movies, certain songs, and certain books we must not partake of, and then it becomes certain genres of films, books, music, and then for some, it becomes film, books, and music themselves.
I've seen it so many times.
I do understand what you are saying, about being a Christian can be depressing. We are aliens here below and alienated from so much around us. That's the harsh reality and sometimes we need to experience that in the full; not letting it master us, and not living as though we had no hope, but experiencing it.
There's a reason why a lot of doom metal bands have Christians in them, you know?