Psalms 34:18 says that God "is close to the broken hearted; He saves those who are crushed in spirit." Second Corinthians 7:6 specifically notes that God comforts the depressed, according to the Amplified Bible.
In Psalms 130, the writer prays to God "from the depths" and expresses awe that God forgives errors, saying, “If you kept a record of our sins, who could escape being condemned? But you forgive us, so that we should stand in awe of you."
Furthermore, Revelation 21:4 provides hope for the removal of the causes of depression, when it says, "And God shall wipe away all tears from their eyes, and there shall be no more death, neither sorrow, nor crying, neither shall there be any more pain: for the former things are passed away."