Yes of course depression affects the body physically in many ways:

You lack energy so feel heavy and tired

Serotonin is also used by the gut so reduced levels impact on digestion and appetite (which is also why antidepressants can affect these things)

Depression has an impact on levels of certain white blood cells which impacts on immune functioning (particularly the balance of CD4 and CD8 lymphocytes)

Depression is often bound up with stress and anxiety both of which also impact on the body physically

Psychologically for me when I am depressed I also feel diseased and like I am rotting away inside - like a cancer