Depression is not caused by a single reason, it is usually the result of a combination of things.

Depression is not just a physical state of mind. The condition of depression is related to physical changes in the brain, and an imbalance related to the chemical signals in your brain and nerves.
These chemicals are called "neurotransmitters".

Some of the reasons responsible for depression are:

• Physical health. Serious medical conditions such as heart disease, cancer and HIV can lead to depression, because of the physical weakness/limitations they inevitably bring. Depression along with these medical conditions may be worse because it negatively affects the immune system and makes pain difficult to bear. Besides, certain drugs used for the treatment of diseases can also result in depression.
  
  

• Changes in the circadian rhythm. Studies have shown that the REM stage of sleep, during which a person dreams, is reached quickly in depressed individuals, and is especially intense. Although the precise relationship between sleep and depression is not clear, it appears the two are strongly co-related in those, whose depressive episodes are not due to unusual stress.
  
  

• Stress/ shocks The failure of a relationship, serious financial problems, or death of someone close, are very common causes of depression. One can suffer depression due to changes in one's life, such as the engendering of a new workstation, end of the school, or new marriage .
  
  

• History of the Family . Genetics plays a vital role in causing depression. An individual who's family history shows depression through several generations, is undoubtedly more likely to suffer from depression.
  
  

• Pessimistic personality. People who have a low self-esteem and a negative outlook have a very high risk of facing depression.
  
  

• Other disorders such as anxiety disorders, eating disorders, schizophrenia, and drug abuse make a person more vulnerable to depression.