I never personally got severe nausea when I was depressed. However, my digestive system was messed up when things were really bad. My stomach would growl a lot, like it was working in overdrive; and I often couldn't eat without having diarrhea less than half an hour later. It's eased up now, but I also cut caffeine completely out of my diet and stopped eating so much junk. That did a lot for killing the minor accompanying nausea. The depression had to lessen for the sick, pained feeling in my gut to go away though. Anxiety can still bring it back.

Sometimes it's hard to figure out exactly what's going on - especially when there are multiple things causing a symptom. I figure that the depression probably made me susceptible to these issues (along with genetic predisposition), but it was diet that pushed it over the edge.