There are many facets to depression and to analyse them from a evolutionary perspective, you should evaluate every single one them separately.

Some specific types of depression, like 'burn-out' syndrome, have an obvious cause-effect and is some sort of defense mechanism to protect you from yourself. The metaphor of getting burned is fitting, because it's similar to physical pain.

But evolution doesn't bother if something is beneficial or not. A common mutation can be devastating for the individuals mental health, but as a species we can have evolved to circumvent this weakness by triggering certain behaviors to prevent us from reproducing. The courting behavior in animals is also often a test the behavior of a potential partner; unexpected behavior leads to rejection.

Genes do not evolve into cleaner, more efficient code, but rather into super complex buggy spaghetti-code that somehow works. We may have evolved to be somewhat intelligent, but we are also inherently flawed.

An interesting observation in that regard was the deranged penguin (documentary: Encounters at the End of the World).

https://www.youtube.com/watch?v=x7kdDeGXUjI