I'm not a doctor or psychiatrist, of course, but I do know that depression can be caused by various things, including chemical imbalances or deficiencies in the brain. When that's the case, doctors tell me, the proper medicine can be very effective, and you should not feel guilty over taking it or finding help from it. In fact, you should be thankful.
Think of it this way: If you had a broken arm, you'd seek medical help; it would be wrong to do anything less. In the same way, if you have something seriously wrong with your brain or your emotions, you likewise should seek help. Our brains (and our whole bodies) are amazingly complex, and sometimes they don't work the way God intended them to. I often recall the Psalmist's words: "I praise you because I am fearfully and wonderfully made" (Psalm 139:14).
Don't misunderstand me, however; our spiritual condition certainly may affect our emotions. For example, we may be filled with anxiety over something because we haven't learned to trust it to God. Or we may be filled with guilt, anger, jealousy, or a hundred other things that we haven't turned over to God. When King David refused to face his sin of adultery, "my bones wasted away... my strength was sapped" (Psalm 32:3-4).
Thank God that He will never abandon you, because of Christ and what He has done for you. Draw closer to Him every day, thanking Him constantly for His love for you.