Hmm, diabetes doubles the risk of depression; only 20% of those with asthma are depressed too (I did not know that either, thanks unhappyguy). Apparently lots of chronic illness have depression linked with them, for the reasons you mention. I'd never thought about it. I have adult-onset asthma and don't think I'm in any danger of depression but my illness last week and having to go to the ER and feeling miserable, that might change my mind about it; I don't ever want what I had again!
http://psychcentral.com/lib/2008/dia...ression/all/1/