When I was newly sober, a bunch of us used to gather in the rooms for coffee, and we often talked about feeling depressed. "How are you?" "Oh I'm feeling a bit depressed today" was how the conversation went.
Then I met someone with real depression, and I realised I was confusing depression with self pity, and the bad feeling that comes after making selfish decisions. I came to see that my self pity was self inflicted, and I was shown how to get away from living that way. For me to medicate the effects of my behaviour, would be no different to drinking. There was no medical condition present, though I am sure I could easily have convinced a doctor of today anyway, that there was.
It is self evident that for someone with real depression, there are medical solutions, which may include medication and/or therapy, and these will treat the depression, but not the alcoholism.
The crucial thing in dealing with both alcoholism and depression is absolute honesty with the people that are helping you.