If you have read the page on the neurotransmitters, then you probably already got a whiff of this. However, I would just like to put together some thoughts I have here, as well as some from other people.
Serotonin is a calming agent, balancing extreme emotions and keeping one from becoming too impulsive or aggressive~ its presence steers away depression. However, its formation is dependant on an amino acid, Trytophan Hydroxylase. Trytophan hydroxylase causes the formation of L-Trytophan into 5-HTP, a very necessary step in the formation of Serotonin. And its ability to help in the conversion is severely hindered by stress. So stress can keep Serotonin from forming, and low levels of Serotonin are a major factor in becoming depressed.
Norepinephrine is also affected by stress. The main activity of Norepinephrine, in fact, is stress. When a stressor comes up, the adrenal glands produce and release large amounts of Norepinephrine to kick off the "flight or fight" syndrome, and boost awareness levels and all that good stuff (almost all of the symptoms of stress are thanks to this particular neurotransmitter. However, this is all released for a good reason~ most of the Norepinephrine gets used up, especially during long periods of extreme stress. And when Norepinephrine is depleted, awareness and arousal go down, you can no longer concentrate... perfect conditions for depression to start kicking in. And it DOES!!!!! *evil cackle*
And there is another player here - a chemical known as corticotropin-releasing factor (or CRF) seems to play a major role here too. Although it is only beginning to be the subject of some research, a number of recent studies have shown that this chemical, before now thought of as specifically a stress hormone is closely intertwined with depression. Normally CRF helps you respond healthily to regular stressors, but when it is activated beyond normal levels has been shown in a number of studies to be linked to depression. CRF also causes the production of two other stress hormones, Adrenocorticotropic hormone and cortisol. About 30 years ago, it was discovered that many depressed people had high levels of cortisol running rampant in their bloodstream; this is now believed to be caused by high levels of CRF in stressed out depressed people.
Suggestions? Never let yourself get too stressed out. Take a break, go run around the block a couple times, sit out on the porch and watch a sunset~ you now have scientific, chemical evidence that these will help you destress yourself, and consequently drop the possibility that you will become depressed drastically!