I remember a story about a depressed fellow that wanted to get into the waters of the Pool of Bethesda because he read about its healing powers and he wanted to have his sadness taken away. He finally decided to visit but just before he got close enough to even view the pool an angel blocked his path and told him that it was not his time to be healed of his sadness. The angel said to the man that God wishes to bring glory and healing through your sad nature. I do not remember more of the story but sadness and/or depression can make one see things in a different light. There are advantages worth thinking on–
The depressed soul can help others in ways that the non-depressed can not because he or she, being sad, can empathize with the sadness of others. They are more in tune to what anguish others are going through and therefore can give superior counsel or encouragement, which probably will make another soul feel better, to the glory of God.
Off hand there are are two other things that deep feelings of loneliness and depression can help one perceive. The downcast soul can be more acquainted with the sufferings of Jesus when he was rejected and abandoned by his friends. The messiah was in the world but the world knew him not (John 1:10..). Deep sadness will cause a person to love and understand the Lord more! Deep sadness also makes one realize that this world is not our final home and we should long for paradise.