It is definetly normal and you know why? It is because people have been conditioned to do this from birth. For example, when babies cry, the mothers first inclination is that they are hungry. And since babies cant communicate through speech, they communicate through emotions and feelings.

So when the baby cries, most parents tend to assume that the child is hungry (even if they arent). That goes along with us as we grow up. Although, eating habits may change for some people, alot of people have emotional eating habits. They dont eat because they are hungry or starving, they eat because it fills them up "emotionally". So when your depressed it is very normal that you will eat more. But you should understand that the reverse can happen for some people.

When others are depressed they deprive themselves of food and suppress their hunger. Their energy is scattered elsewhere, and they unconsciencely do the opposite.