Depression medically encompasses a large variety of different mood disorders whose common features are a sad, empty, or irritable mood co-occurring with bodily and cognitive changes that significantly disrupt an individual's ability to function.  These different mood disorders have different durations, timing, or presumed origin. However, differentiating normal sadness/grief from a depressive episode requires a careful and meticulous examination. For example: the death of a loved one may cause great suffering, but it does not typically produce a medically defined depressive episode. 
Within the context of psychoactive substance usage, depressivity is often accompanied by other coinciding effects such as anxiety, irritability and dysphoria. It is most commonly induced through prolonged chronic stimulant or depressant use, during the withdrawal symptoms of almost any substance, or during the comedown/crash of a stimulant. It is associated specifically with higher alcohol consumption.  However, it is worth noting that substance-induced depressivity is often much shorter lasting than clinical depression, usually subsiding once the effects or withdrawal symptoms of a drug have ended.
If you suspect that you are experiencing symptoms of depression, it is highly recommended to seek out therapeutic medical attention and/or a support group. Additionally, you may want to read our depression reduction effect and Psychedelic Therapy review.
It is worth noting that depression as an effect has an unfortunately non-specific definition. It is due to this that there are a number of other relevant terms which should be taken into account when trying to understand this state of mind. These are listed and described below:
Depressivity is medically recognized as feelings of being intensely sad, miserable, and/or hopeless. Some patients describe an absence of feelings and/or dysphoria; difficulty recovering from such moods; pessimism about the future; pervasive shame and/or guilt; feelings of inferior self-worth; and thoughts of suicide and suicidal behavior.
Depressive symptoms may include fatigue, lack of ability to concentrate, or significant changes in weight or sleep.
Major Depressive Disorder
Major Depressive Disorder (MDD) is medically recognized as discrete episodes of depressivity lasting at least two weeks (although most episodes last considerably longer).  This is the traditional characterization for the term medical term depression.
Acute depressivity (colloquially referred to as "feeling depressed"), when indicated by either self-report or observation made by others, encompasses the following symptoms:
- Feeling intensely sad, miserable, and/or hopeless along with pessimism about the future.
- Anhedonia: a markedly diminished interest or pleasure in all, or almost all, activities.
- Unintentional weight losses and gains.
- Inability to sleep or sleeping too much.
- Restlessness or feeling slowed down.
- Intense fatigue or loss of energy.
- Feelings worthless or excessive/inappropriate guilt (which may be delusional)
- Diminished ability to think/concentrate, or indecisiveness.
- Recurrent thoughts of death (not just fear of dying).
- Recurrent suicidal ideation: without a specific plan, having a plan, or a suicide attempt.
For a diagnosis of major depressive disorder to be accurate, the symptoms must cause readily observable distress or impairment in social, occupational, or other important areas of functioning for an extended period of time. The episode must not be better explained by a different mood disorder. The symptoms also cannot be attributable to the physiological effects of a substance or another medical condition.
Unless otherwise noted, the studies referenced here will refer to Depression as it is traditionally defined in medical and scientific literature AKA Major Depressive Disorder (MDD).
Major depression affects 5-20% of the population at some point in their life.  It results from the combination of genetics and environments with a heritability of greater than 30%. Common environmental influences (parenting style, socioeconomic status, or local environmental qualities) are quite small; however this does not mean these influences are irrelevant. What seems to matter is how a specific individual interacts with their environment across developmental stages.  Stressful life events are significantly associated with depression. 
Depression is a life-threatening disorder. Both depression and subclinical depression increase all-cause mortality similarly;   however subclinical depression does not have an exact definition yet (making it harder to study). The impact depression has on quality of life is comparable or greater than other chronic medical illnesses. 
Cognitive impairment is a core feature of depression that remains after remission and cannot be considered a result of low mood.   Although there is some evidence associating depressivity and functionality, depression severity accounts for -at most- 10% of the variability in cognitive dysfunction. Both age of onset and depression severity also modify this effect’s magnitude and what cognitive deficits arise.  As a generality (not developed in parallel), more severe depression correlates with significant decreases in cognitive performance.  
- Moderate decrease: Executive function, Attention, Episodic memory (not semantic or visuo-spatial)
- Mild decrease: Processing speed
These cognitive deficits are significantly associated with poor psychosocial functioning (psychological factors combined with the surrounding social environment).
Psychosocial impairment is also a core feature of depression that remains after remission. Psychosocial stressors are associated with the onset, severity, and progression of MDD.  More severe depression can be considered a disability, or disorder, of psychosocial function.  Even brief psychosocial interventions in the form of collaborative care (e.g. a telephone call reminding to take medication) may be comparably effective to more intensive forms of face-to-face psychotherapy. 
Improving cognitive deficits may also improve psychosocial functioning. Although impaired attention and executive functions remain in patients whose depressive symptoms alleviate, memory functions may improve to only a small deficit.  Improvements in mood are most closely related to improvements in verbal memory, verbal fluency, and psychomotor speed.
Depression is accompanied by immune system dysregulation and activation of the body’s inflammatory response system.    Specific biomarkers have small but significantly higher concentrations associated with the incidence and severity of depression.
- Tumor necrosis factor (TNF-α) 
- Chemokines for Monocyte Chemotactic Protein (MCP)-1/CCL2 
- C Reactive protein  and its interleukin precursors:
- Interleukin-6 (IL-6), associated with reduced hippocampal grey matter volume and is increased with higher BMI via Leptin  
- IL-1ra,  but not IL1-β  | IL1 is difficult to detect in plasma since it works primarily at the local site of inflammation and new forms are still being discovered.
It is difficult to say how biological sex interacts due to increasing the number of females in a sample causing the relationship between depression and inflammation to become nonsignificant.  Estrogen interacts with CRP and IL6, thus fluctuations in menstrual cycles and hormonal contraceptives may affect these results. Yet, overall the fundamental genetic architecture appears the same across samples and genders. 
These proinflammatory small protein messengers, called cytokines, increase indoleamine-2,3-dioxygenase (IDO) expression in both central and peripheral immune-competent cells. IDO increases the synthesis of kynurenine from dietary tryptophan, so this may cause a decrease in tryptophan availability. Tryptophan is required to synthesize serotonin and melatonin.  Additionally, there is no evidence the serotonin transporter genotype alone or in interaction with stressful life events is associated with an elevated risk of depression. 
Kynurenine also produces endogenous NMDA agonist metabolites that could disrupt neurotransmission along glutaminergic pathways and lead to excitotoxicity in the form of hippocampal neuron damage/death. 
Within the central nervous system, proinflammatory cytokines play important roles in the body’s stress response system and within the regulation of neurogenesis.
Stress response is mediated by the hypothalamic-pituitary-adrenal (HPA) axis.
The HPA axis allows organisms to adapt to physical and psychosocial changes in their environments. There is a substantial link between MDD and HPA abnormalities and it is well established that approximately half of depressed patients have HPA axis hyperactivity.
Cortisol, a glucocorticoid hormone commonly pointed to as mediating stress response, is just one component of the complex HPA system; note that total plasma cortisol does not represent the bioactive or 'free' portion of cortisol that is available to bind to target receptors and produce physiological effects. Regardless, it is typical for higher cortisol to inhibit this adaptation mechanism in the hippocampus.
Adaptation can be separated into three phases, each with different physiological processes. Mineralocorticoid receptors regulate cortisol during periods of low HPA activity. Glucocorticoid receptors regulate response to stress and cortisol during high HPA activity.
- Baseline: unstimulated, non-stressed.
- Stress reactivity: cortisol increases from baseline.
- Stress recovery: following offset of the stressor, cortisol levels return to baseline.
Major Depression Disorder patients have impaired stress reactivity and recovery, with more severe depression being more impairing. They have greatly higher overall baseline cortisol that subsequently changes less in response to new stressors. This is exhibited behaviorally through higher overall negative emotions and less emotional reactivity to new negative stimuli.
Time of day also has a significant effect on the relationship between depression and cortisol. Typically, in nondepressed patients, cortisol is highest in the morning and lower in the afternoon. MDD patients have much lower baseline baseline cortisol levels in the morning and higher baselines in the afternoon. 
Stress robustly reduces neurogenesis and the genes responsible for it in the brain. Antidepressants almost universally promote neurogenesis and neurotrophic factor gene expression. 
Although not only specific to depression, depressed patients display smaller hippocampus volume.   The arrow of causality is not entirely clear: does depression cause shrinkage or are people with a smaller hippocampus more susceptible to depression?
Although the mechanism of action is still undetermined, serum brain-derived neurotrophic factor levels are abnormally low in MDD and elevate during antidepressant treatment. This potentially makes it a good biomarker to indicate the presence of depression and responsiveness to antidepressants.  
Postmortem studies on patients with MDD or Bipolar Disorder suggest depression is a disorder of neuroplasticity and cellular resilience. It is not a neurodegenerative disease. 
-  American Psychiatric Association. (2013). Diagnostic and statistical manual of mental disorders (DSM-5®). American Psychiatric Pub. | https://doi.org/10.1176/appi.books.9780890425596.dsm04
-  American Psychiatric Association. (2013). Diagnostic and statistical manual of mental disorders (5th ed.). Arlington, VA: American Psychiatric Publishing. | https://doi.org/10.1176/appi.books.9780890425596.GlossaryofTechnicalTerms
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- Gilbody, S., Bower, P., Fletcher, J., Richards, D., & Sutton, A. J. (2006). Collaborative care for depression: a cumulative meta-analysis and review of longer-term outcomes. Archives of internal medicine, 166(21), 2314-2321. | https://doi.org/10.1001/archinte.166.21.2314
- Kvam, S., Kleppe, C. L., Nordhus, I. H., & Hovland, A. (2016). Exercise as a treatment for depression: a meta-analysis. Journal of affective disorders, 202, 67-86. | https://doi.org/10.1016/j.jad.2016.03.063