Yes in my life there's a link, although it's a little more complicated with me because I'm bi-polar, I think being drunk is partly a "safe" substitute for the euphoria of mania as well as a "friend" in depression. Also self-medicating the stress that can develop into mania.

I'm sure often there is a third problem, such as poverty, causing both alcohol and depression problems. The author Joe Griffin blames the demise of community in the last 60 years or so for the huge growth in depression, especially in men (if I recall correctly) his books on satisfing inherent human needs in fighting depression seemed to help me when I was depressed.

I should have mentioned Hops has been seen to cause "melancholy" by herbalists, brewers were initially reluctant to use it for this reason.