Shaner, I have a few pilot friends who were diagnosed with depression and what rickair said stands firm. As long as your not currently on medication, it's never been any hassle for them. However, as a medical student I'll be the first to tell you that depression, ADHD, ADD, etc. are very much overdiagnosed in todays world. That doesn't mean that a person doesn't have some of those symptoms, but for many doctors it's much easier and faster for them to prescribe a medication and get you out the door...v. taking a few extra minutes to actually figure out what's going on in your life...whether it's at home, or medical/chemical related and trying to help you without sending you home with a load of medication that you may not need.
This being said, I am not telling you to shy away from medical attention. If your symptoms have been occuring for a while now, and you really can't pinpoint any source...then medical intervention may be right for you. But like Rick said before, definitely do your research before stepping into a doctors office. There are so many sources available to the public, and often a patient will come in and tell us that I've read this and that on this website. The public is much more knowledgeable now than they were 10 years ago.
Best of luck and safe flying!