Because a lot of people apparently think ESTPs are callous sociopaths, so I've often seen my own type the most cited as "least depressed".
However in reality, coming from my own personal experiences and those of others, is we suffer depression like most other types; we just try to do our best to keep feigning our sensory mania so that we make ourselves feel better and try to keep ahead on that sensory rush. That being said, I think we get a little addictive and then gradually lose interest in the Se-Ti activities we used to hold dear.
That being said, being that I view depression as an interplay between the body and mind (so I come from the camp that clinical depression is partly responsible for the more 'mental' state of depression and vise versa, and that it's not as simple as JUST treating it with medication if you want some of the damaging mental loops that come from it to be resolved). I don't think any one type is any more susceptible to being chemically depressed, but some types handle their depression or keep it under wraps better than others.
I've also heard people claim that in general Feelers are more depressed; I think they are more likely to SHOW that they are depressed and want to seek help out from others, but I think Thinkers are equally as capable of suffering depression, but they try to work through it on their own because their depression often stems FROM their failed dealings with other people.
iNtuitives are definitely more prone to some of the catatonic-type expressions of depression; whereas Sensors I feel like are less likely to assume that they themselves are depressed, but rather that their external environment or external factors are causing them to feel less-than-okay, so they often blindly strive to fix it or become more addictive/manic about their environment, but not truly improving the situation because they are failing to address the psychological factor.
Judgers get depressed when their plans fall through, because they feel like they have lost their security and wasted all that time planning; Perceivers get as equally depressed when the world demands certain things, methods, processes out of them that they are just plain not built for executing without burning themselves out.