Depression is sometimes referred to as "the common cold of mental health." It is so common, that virtually everyone has experienced some of it. It is normal to feel depressed for a day or a few days at a time infrequently. It can even be your body's way of getting you the emotional and physical rest you need.
It is also normal to feel depressed after a significant loss (death, divorce, severe injury, etc). The process of healing emotionally from a loss is generally a pattern of waves of sadness and anger, thinking "if only...the loss wouldn't have happened", and needing to talk about what was lost over and over. Gradually the waves get less intense and further apart.
Depression also comes from self-criticism, inability to express feelings, imbalanced hormones or brain chemicals, trauma, lack of a sense of power or control in one's life, and other sources. When depression lasts longer than a couple of weeks, or doesn't get any better over the course of a year after a major loss, or causes dangerous behavior, and suicidal intentions, or involves extended self-attack, hopelessness, self-destructive ways of handling the pain, and unremitting beliefs that one is unlovable, unworthy, inadequate, a failure, etc, it is very important to get professional help from a psychotherapist.
Most people feel depressed for months or years before they get into therapy for it. This means that most people suffer unnecessarily.
When people do come to therapy for depression, they generally feel a little better after the first session, or within the week after. Then often within the first six months to a year of therapy, the depression is much better, and people decide either to explore more issues in their lives, or to discontinue therapy.
If depression is very severe, chronic or appears to be dangerous to one's life or functioning, therapists generally will refer people to a doctor for a medication evaluation. Sometimes a chemical imbalance in one's brain prevents the person from recovering from depression. In those cases, once the brain chemistry is functioning properly, psychotherapy can heal the life issues involved.
People who have been severely traumatized as children, may need many years to heal from those wounds. However, the process of therapy can be very helpful and comforting while the healing is slowly taking place. No one should have to walk around with invisible emotional wounds alone.