A study involving rats injected with stress hormones shows that chronic dosages of stress cause depression and anxiety, and that male rats were more prone to depression than females, possibly due to female sex hormones.

Also a theory is formed about stress creating a metabolic change in the brain which blocks glucose intake in certain receptors in the brain and "drags down responses and behavior causing what people experience as depression":

http://www.apa.org/monitor/jan05/hormones.html