I'm sorry this has happened. And I'm sorry your wife left you when you needed her most. It seems that vows don't mean much anymore.
Alot depends on how old your children are. I know you said they were teenagers, but 13 is alot different than 17. So you will have to use your discretion.
I too believe you should be honest with your children. I see no reason to shield the fact that you've been depressed. I have a feeling that they already know it.

Children are VERY observant, and are certainly NOT stupid. We can't keep things from them like we think we can.
You need to tell them that their mother left because of your depression and she's not coming back -- straight up and simple. They need to know the truth. Why tell them "she might come back" and get their hopes up? It's not the truth, and there's no point in lying.
Plus you need to just say that it's the 3 of you now, and that you might need some help. Ask them to be understanding and patient with you.
I HOPE that you're under treatment because it would not be fair to the kids if you were not! So either go into therapy, or get on an antidepressant - one or the other, but you HAVE TO DO SOMETHING. Not doing anything would be abusive to the kids. Plus it wouldn't do you any good either.
I wish you the very best. I'm sure things will be okay as long as you have treatment of some kind.

Kids are very resilient and they'll grieve - but they'll be ok. God bless and let us know from time to time how you're doing. Hugs, Lee