because when you devoutly pray the rosary, the grace of God flows through our Lady and onto you.
the 15 promises our Lady gives to the reciters of the rosary are pretty amazing. you should definitely look into them.
i have depression too, and when i was at my lowest my family got into the habit of praying the rosary together daily. it was and is an amazing experience and i receive so many graces from it. i still do! you’re blessed so much that your depression doesn’t seem to hold a place in your mind any longer and peace overcomes it.
pray the rosary often.