This is a really interesting thread; I'm interested to learn more from what folks have to say.
I take medication for clinical depression, and I am most happy when a sub, though I do like to switch periodically. Although, for many people, depression is about feelings of a lack of self-worth, and I know that, when I am depressed, I can feel like I'm not worth anything. BUT I also know that, in general, my self-esteem is pretty good, and the work I've done with my therapist reveals the degree to which my depression is chemical, given that I've done a whole lot of personality/behavior re-forming, but the depression remains. So I think that depression is pretty complex, and different from person to person, so I'd resist interpreting the question to suggest that subs have lower feelings of self-worth.
Anyhow, I agree that, if I feel like sex when depressed (which is rarely), I would be more likely to opt for very vanilla, gentle sex. I can imagine swinging really too hard to have D/s sex when depressed.
I'm actually often feeling quite spunky and sparky and good about myself when I return to the bdsm desires. Being a sub is not about being a doormat, and I need to have enough feisty-ness to make it worth while
I have spent a lot of time trying to gain control over my depression, through meditation, medication, self-examination, analysis of my history, character re-development, the like. But just as I haven't been able to find a "reason" for my depression, neither can I control it enough to say I have found a "cure." Perhaps allowing myself to let go as a sub is something that I have a hard time doing with my depression, and it's deeply relaxing. I think that learning to ride the waves and retain equanimity is a valuable lesson for anyone, particularly those who have depression. I can ride out my depression like I can ride out my spankings . . .
I've only begun to think of this, since you posted it, so I may disagree with myself shortly. I just want to ask folks on this thread to be gentle, as depression is terribly personal and painful.