if you are gambling for fun you can never be depressed because you are losing, the only reason why someone will be depressed because of gambling is because they are expecting to win always and maybe become rich through gambling, those who are gambling for fun don't really care if they lose because they are doing it just to have fun and not to become rich through gambling.
Expecting something and not getting it is usually what cause depression so if you're not expecting something and you're not getting it you can never be depressed over that thing you are not getting.
Depressed is too much, you are completely right. If you are "depressed" then there is something wrong, that is not what gambling is for and if you are doing this then it should not be your way of entertainment, find something else. You can be upset about a loss, that is normal, but depressed?
That is too much, either people do not know the meaning of depressed and the seriousness of what it means, or they are just overeating to people betting all their life savings because that is what can make someone depressed for sure. The sad thing is that we are dealing with stuff that are not that complicated, we can make this work, we just need to make sure that we are doing within our means, if we do that then we are going to be fine and nothing else will matter.