Dreaming about feeling depressed indicates that you are having a hard time figuring out the root of your sadness.
You may also be facing consequences for your actions.
To be depressed in a dream usually means the opposite on awaking.
If you are depressed over the loss of a loved one it is telling you will soon find someone to love, the same holds true for job, etc..
To be depressed and crying, look for some bad news close to home.