A book that comes to mind is 'Reasons to Stay Alive' by Matt Haig. It's not strictly a fiction but has fictional elements. It's based on the author's own experience with depression and offers hope. In terms of pure fiction, 'A Little Life' by Hanya Yanagihara is a very powerful and moving novel that portrays a character's deep - seated pain and trauma related to depression and abuse. 'The Yellow Wallpaper' by Charlotte Perkins Gilman is also a classic that can be seen as dealing with a woman's descent into some form of mental distress which could be related to depression.
One great book is 'The Bell Jar' by Sylvia Plath. It's a semi - autobiographical novel that delves deep into the protagonist's struggle with mental illness, including depression. Another is 'It's Kind of a Funny Story' by Ned Vizzini. It tells the story of a teen dealing with depression and his time in a psychiatric ward in a somewhat humorous yet poignant way. And 'Perks of Being a Wallflower' by Stephen Chbosky also touches on themes of anxiety and depression among teenagers, showing how a young person navigates through these difficult emotions.