Clinical depression isn't an emotion, it's a truly pernicious, sometimes fatal disease: Lewis Wolpert calls it malignant sadness, and he's not far wrong.
But yes, we say, 'I'm really depressed that my agent doesn't like my novel', and I'd say that was an emotion.
People often mistake 'black' as being a colour when it is in fact a complete absence of colour. I think the same is true of depression, it is an absence of emotion and that’s why it can lead to actions like self harming. This is an (extreme) attempt to feel something; anything, rather then being numb.
People say I am or I feel depressed when what they actually mean is they are deeply sad. When referring to the illness we generally say I suffer from or I have depression.
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Interestingly, loneliness (which I also agree is an emotion) can lead to depression.