I don't know about depression (which today is used even for states which are not "classic" depression, like chronic fatigue from overwork) but here's an interesting thing.
Dr James Fleming McHarg, Royal Navy military surgeon, much respected psychiatrist in his civilian life and pioonering neurosurgeon, investigated the relation between brain disfunctions and paranormal experiences.
His studies particulary focused on temporal lobe disfunctions, though all the patients who confirmed having had "paranormal" experiences also suffered from very serious ailments, like epilepsy or various brain deformities.
And that's all.