WARNING: profanity (nah, actually it's not that bad)
http://lolsnaps.com/upload_images/real/1404.jpg...and in a more serious tone, i have to say that, depression could very well be a sign for oneself to start trying to understand something. Some lessons unique to his/her life.
Only after having fully understood those specific personal lessons can he/she go on with life. But meh, what do i know about other peoples' life :p
Still, tracing your own life path and thinking about all the goodness received is a powerful starter. Can you, say, at any given moment, have the feelings of both grateful AND depressed in equal intensity?
Even our understanding of the word 'grateful' itself needs checking. It is not about the 'should be' grateful ~ 'should be' happy that matters. Being generally politically correct is the least helpful thing you can do for yourself when you're talking about your own happiness.
In that case, the inquiry "If you were grateful/why are you depressed?" question is basically valid and necessary. Especially when the "grateful factor" is in the present, while the "depression factor" is not, as you can see from our bro's response above, which is quite an indicator.
And btw, re: "FDA should also approve antidepressants as medications that can increase your faith."
What is this? Who/what can increase your faith? Someone/something other than yourself?
You better be extremely careful with that.
Get a friend instead, someone you can really talk to each other. Why, because it's the best antidepressant ever made for humans!