That perhaps depression, as well as other mental illnesses that affect the affluent, are nature's way of destroying/slowing down those members of society that threaten the established rate of progression. If a person is no longer mentally enthusiastic about the world in general, the brain begins the process of releasing chemicals that trigger the emotions and thought processes we associate with clinical depression.
This may often be the case when dealing with person's whose visionary genius is a threat to the biological standing of the species at large. Conclusions made so the thinker eliminates any form of hope (i.e., objectivism, atheism, nihilism) leave a person in a mental place where they are no longer of any use to society. They can no longer be a happy, healthy member of the family of man, so biology overrides the programing and hits the self-destruct button. Some people may just be too smart for their own good.
Examples of famous individuals to which this may be applicable? Sylvia Plath, Kurt Vonnegut, jr., Ayn Rand, Frida Khalo, Vincent Van Gogh, Zelda Sayre, Eugene O'Neil, Nietzche, Dostoevsky... (this list could seriously go on for ages, these were just off the top of my head) The point is these people are often labeled "ahead of their time," a mutation that often leads to the destruction of the individual unit, even if the species benefits from the change in the future.
This in no way suggests that depression *or* natural selection are part of a conspiracy theory. Crazy is as crazy does. No one listens to the people babbling on street corners for a reason.
Depression isn't limited to intelligent people- a general feeling of uselessness is a common symptom, and the fact that you did think yourself into a hole shows you aren't the brightest crayon in the box. It's a case by case thing.