I definetly have done this.

Not for depression in quite a while, but for other mental health issues I deal with.

Simply put, when I feel that my issues are out of my control, I find it extremely calming to hand my issues over to a team of people who know what they are dealing with - I know that they will keep me safe and help me to get things back under control. And when you are overwhelmed with what is going on with you, sometimes handing that control over for a break where you know you will be cared for can be a godsend.