c. 1400 as a term in astronomy, "angular distance of a star below the horizon," from Old French depression (14c.) and directly from Medieval Latin depressionem (nominative depressio), noun of action from past participle stem of Latin deprimere "to press down, depress" (see depress).
The literal sense "act of pressing down, state of being pressed down" is attested from 1650s. The meaning "dejection, state of sadness, a sinking of the spirits" is from early 15c. (as a clinical term in psychology, from 1905); meteorological sense is from 1881 (in reference to barometric pressure); meaning "a lowering or reduction in economic activity" was in use by 1826; given a specific application (with capital D-) by 1934 to the one that began worldwide in 1929. For "melancholy, depression" an Old English word was grevoushede.