Other times people simply feel crushed for no discernible reason. This is maddening because if you can't find a cause, you are unlikely to fix the problem. Ever. Now, sometimes on closer examination it turns out that there is a hidden reason (suppressed memories of a horrible childhood, unexamined personal mistakes, etc.) which can be found and worked through. Sometimes there is a physical aspect where the biochemistry goes out of whack, and maybe it can be discovered and fixed with better living through chemistry. But sometimes people are just miserable, just ... because. That really sucks.
This matters because different types of depression respond to different treatments. If you are depressed because there is a serious problem in your life -- like abuse or poverty -- then chances are you're not going to stop being depressed until your circumstances change. For much the same reason a wound will not heal until you take the knife out of it, and taking pills to make the pain go away may make it more bearable but will not stop you from quietly bleeding to death. If your body is out of whack, talking about it probably will not fix the problem; pills or diet or exercise or some other physical method usually works better. If your spiritual life has fallen apart, you need to see a priest/ess about that, not a doctor who knows bupkis about souls. If you have a head full of vicious things people said to you growing up, or a hideous secret you were ordered to keep, that's the kind of thing talking can really help with.
If you're sad for no identifiable reason, alas, there isn't much anyone has figured out to fix that. But some people in that situation find that antidepressants make them feel at least a little less awful, or that having someone to talk with is better than being alone. Or maybe it's just a relief to have somebody acknowledge, "Yep, that is a giant soul-crushing weight sitting on your chest. Wow, that sucks."
Depression isn't all one thing. It's a whole cluster of things, some of which are related, others not so much. You can't fix it until you know what's going on. It's worth trying to fix, because sometimes it really can be fixed, and other times it can at least be ameliorated somewhat. But I really liked that entry above because it does a great job of describing what it's like to deal with inexplicable depression, when none of the attempted solutions work.
Know the signs of depression, how to cope with depression, and how to help a depressed person.