I get depressed sometimes. I just thought that one thing that may lead to depression for me is running into dead ends: thinking "I'll do X!" and then for some reason not doing X, because someone said not to do X, or because I thought about it and decided maybe X wasn't a good idea, or because it turned out X was impossible.
On the other hand, I don't get too discouraged when my ideas don't work out.. though that's generally because I have in mind some other idea to try. But when I'm out of ideas, that's pretty depressing. Or when there is some obstacle to advancing on my ideas.
Oddly enough, depression doesn't seem like a great state to be in to discover new ideas to try. Not sure what my brain's strategy is there..