It's not known exactly what causes depression. As with many mental disorders, a variety of factors may be involved, such as:

• Biological differences - People with depression appear to have physical changes in their brains. The significance of these changes is still uncertain, but may eventually help pinpoint causes.
• Brain chemistry - Neurotransmitters are naturally occurring brain chemicals that likely play a role in depression. Recent research indicates that changes in the function and effect of these neurotransmitters and how they interact with neurocircuits involved in maintaining mood stability may play a significant role in depression and its treatment.
• Hormones - Changes in the body's balance of hormones may be involved in causing or triggering depression. Hormone changes can result with pregnancy and during the weeks or months after delivery (postpartum) and from thyroid problems, menopause or a number of other conditions.
• Inherited traits - Depression is more common in people whose blood relatives also have this condition. Researchers are trying to find genes that may be involved in causing depression.

(Mayo Clinic)