Depression isn't something as simple as feeling sad, it is an illness which can be debilitating so it can't really be seen as being wrong. Having depression does not mean a person does not have belief/faith in Allah, since some people might think 'if i had more faith in Allah then i wouldn't be feeling like this'.. It depends on the type of depression and type of person e.g. it could be a biological thing where a person always sees the bad in things and it can't be helped. I think the key is to keep on having faith in Allah and pray that Allah helps to overcome the hardship being faced.