Yes, because the best help comes from “God, Who comforts and encourages and refreshes and cheers the depressed.”—2 Corinthians 7:6, The Amplified Bible.
Strength. God “refreshes and cheers” you, not by removing all your problems, but by answering your prayers when you pray for the strength to cope. (Philippians 4:13) You can be sure that he’s ready to listen to you, for the Bible says: “Jehovah is near to those that are broken at heart; and those who are crushed in spirit he saves.” (Psalm 34:18) In fact, God can hear your call for help even if you can’t put your feelings into words.—Romans 8:26, 27.
Good examples. One Bible writer prayed to God: “From the depths of my despair I call to you.” This psalmist dealt with his depression by remembering that God doesn’t burden us with guilt. Instead, he said to God: “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.”—Psalm 130:1, 3, 4, Good News Translation.
Hope. Besides providing comfort now, God has promised to remove all the problems that lead to depression. When he fulfills that promise, “the former things [including depression] will not be called to mind, neither will they come up into the heart.”—Isaiah 65:17.
Note: While acknowledging the help that God provides, Jehovah’s Witnesses also seek medical treatment for ailments such as clinical depression. (Mark 2:17) We do not, however, endorse any specific medical treatment; we feel that each person should make his own decision on such matters.