Yeah I definitely think our anxieties or feelings can "get to us" through our dreams - not always, but sometimes.

Yesterday actually, i had a really big Ringette game and when i woke up this morning I realised that my whole body was sore (probably from not stretching!) Anyhow - last night i dreamt that i was being chased and got into a fight. i ended up waking up in the middle of the night, and I felt all my muscles being sore from the Ringette game, but didn't make that connection, and in my half-sleep state, actually convinced myself for a second that i had gotten into a fight because I was physically sore.

My point being, that sometimes i think we can take things in from "reality" whether that be physically, or emotionally, and they can somehow get incorporated into our dreams. I think that on some level, dreams are a way for us to express things that we wouldn't necessarily do otherwise. So as for your dream about depression? Maybe it was just a fear that you would feel that way ... somehow doubting your emotional state now? Or it could just be a reflection on how you've felt in the past?

I also have dreams where i'm trying to fix something .. or sort some problem out. Depending on the dream, i sometimes feel like it's my "mind's" way of fixing some part of me ... whether that be some anxiety, or wishful thought ...

Then again, there is the theory that dreams are just a bunch of neurological matter, trying to process random thoughts at once.

I for one though, believe they have some sort of underlying significance, but i try and not take that too literally in some cases!