Labeling the phenomena depression frames the debate in a certain way, that's not useful for understanding evolutionary reasons.
If you hit someone strongly on the head the resulting trauma can frequently lead to depression. Is that depression in reaction to getting hid on the head evolutionary advantageous? That depends highly on how you have to structure a brain to not suffer depression when it get's hit.
While Googling around it seems that dogs also have something like depression: http://pets.webmd.com/dogs/features/depression-in-dogs Does depression helps dogs to solve complex problems which involve analysis? Is that what Andrews et al are arguing?
Since there are intelligent people here who follow the topic of evolutionary psychology, I'd like to hear opinions about some research from 2009. Particularly if this idea seems reasonable or not, but possibly other opinions that people might have about it.
The idea is a variation on one that's somewhat popular here: that some conditions usually regarded as mental illnesses (Asperger's for example) are beneficial, even adaptive. But the condition in question now is depression. Briefly, the argument is that depression, at least when it is a response to stimuli and not a permanent feature, can have the useful effect of encouraging more rational thought when this is particularly important, even at the cost of quality of life, and that this is adaptive.
Links: a Scientific American article, a journal article (which I haven't read, behind a $12 paywall). Here's the abstract of the journal article:
The full journal citation is Andrews, Paul W., and Thomson Jr., J. Anderson; July 2009; Psychological Review 116 (3), 620–654; doi 10.1037/a0016242.