I'm not so sure that lack of sleep makes you depressed, but it sure doesn't help. There's usually some underlying issue that causes depression -- in my case, I'm clinically depressed. The hormones/minerals/etc., that are needed in the brain are lacking and have to be replaced by anti-depressants. So I've been on anti-depressants for probably 40 years now. And I'll be on it till I die.
Have you been in therapy? If not, you may want to think about it. There, you'll find out what it is that you're dealing with - what are your issues, and what you've been carrying around for years that's tormenting you. Have your doctor refer you to a good therapist. You won't regret it.
Best of luck and God bless. Hugs, Lee