Depression was never my thing. In fact I had a lot of disdain for depressive people. Instead, my thing was to have a lot of anxiety going on all the time--fears about the future, paranoia attending all my actions in life, anger about the petty games people play, rage at the futility of life, and so on.
But eventually I realized that there was also some light depression lurking in the background there. Even when things were going great, I had this kind of depressive fatality about life in general and my life in particular.
So I came to see the anxiety/depression link as a progression, with anxiety as the mid-stage between stress and depression: Normal Stress -> Anxiety -> Depression. At least, that's how it seems to work for me.
I noticed that when my anxiety and rage were at their worst, they kind of served as an inoculation against depression. The rage and fear seemed to ward off the deep fall into depression. On the other hand, there were occasions when I sometimes just kind of gave up on life's problems and shut down, but that would tend to lead to a fall into deeper depression. And to fight my way back out of that depression would mean re-claiming my anxiety and paranoia and rage--sort of "taking the initiative" and fighting my way back out of that hole.
Of course it wasn't really a good way to live life, teetering between anxiety and depression, but that's how I saw it. Also I never consulted a professional about any of this. I just figured it was normal and I got by in life by self-medicating with alcohol to the point of having a sizable drinking problem much of my adult life. But it was fine, most of my peers seemed the same way; as I figured it, it was the happy ones who were nuts or simply too stupid to notice how screwed-up life is.
Anyway, after I retired I started reading a lot of psychology self-help books, and eventually focused on books about anxiety and depression in particular. A couple good overviews of current mainstream theory for the non-technical layman these days: "Anxiety for Dummies" and "Depression for Dummies" in the famous "For Dummies" series. They go right to the meat of the issue and describe the symptoms and the paranoid or circular thinking that happens with both problems, and they walk you through all the standard treatment methods. CBT comes first as the most "provably" effective treatment method, but the books also talk about things like mindfulness, stress reduction techniques, medication options (overviews of all the standard drug options), etc.
Anyway, I wasn't surprised to find that the Anxiety and Depression books both covered a lot of the same ground. CBT is deemed the most effective treatment for both, etc. It kind of bolstered my idea that there is a progression from Anxiety to Depression.
Also, with my self-help reading across the last 10 years I kind of got a handle on how stress arises and turns into anxiety. So much so that nowadays I normally feel pretty anxiety-free. Of course it helps that I'm retired: It's easier to be anxiety-free when you play life on easy mode. But still: Even retirees have stress. In fact if life gets too easy, that's a danger signal. We all need challenges. I take on new adventures on a regular basis just to keep from settling into too much of a rut.
So there are still times when stress builds up and I feel it hovering over me like a black cloud and turning into anxiety. But I know what's going on in my head when that happens, so it's easier to just view that anxiety as a warning signal and seek out some work-arounds. Or just ignore it as a nonsense signal and work through it, assuming the situation is a temporary one.
That's kind of where I'm at these days. (Still haven't seen a professional on any of this, but I don't figure there is any need for one at this point.)