In fact, Jesus experienced temporary depression in His final days on earth.
"Then Jesus went with his disciples to a place called Gethsemane, and he said to them, "Sit here while I go over there and pray." He took Peter and the two sons of Zebedee along with him, and He began to be sorrowful and troubled. Then He said to them, "My soul is overwhelmed with sorrow to the point of death. Stay here and keep watch with me." This is at a point where Jesus knew that He will be freeing all of mankind from their sins and that He will have victory over the devil but He still became sorrowful and asked for the responsibility be taken from Him. But the key thing to remember when we have this temporary depression is what Jesus said immediately after, "Not as I will but as thow wilt" We have to remember that God is in control of our lives and though we may "weep for a night, joy will come in the morning" (Psalm 30:5)