I have a few scattered thoughts on this and how submissive practice can lessen depression. Sorry, these are a bit random.
Disclaimer: I am not a doctor, therapist, or expert in depression or domination.
An ethical dom/me could inspire you to do things you already wanted to do. Their motto is "leave a sub better than you found it."
Skip to minute 5:45 in this TV show: https://www.facebook.com/VICELANDNewZealand/videos/slutever-lifestyle-slaves/875809725937308/
The domme in this example has dominated her sub in a way that helped him lose weight, socialize more, and come out of his shell. Even when he gets out of chastity, or when they end their D/s relationship, he will be better off.
Depression is your brain sending the wrong message, it's your brain working against your long-term interests. This is what makes your brain different from normal brains.
PLEASE REMEMBER THIS IF YOU FORGET EVERYTHING ELSE.
Depression isn't normal! It's common, but it is in no way normal. As someone who has gone through bouts of depression, I found this idea pretty transformative!
A lot of experts don't like saying "your brain is not working right," because they don't want you to feel even more isolated than you already feel.
It might be helpful to think about it like this: Your brain loves to get drunk and get high, which is fine, but you have to be the designated driver all the time.
When your brain says "We're dumb, we can do anything right," you have to go, "Shut up, brain, you're just drunk." When you get cut off in traffic and your brain says, "The world is evil and full of dickheads," you have to sigh and say, "Sure, brain, let's talk about this in the morning." Other people's brains don't need sober buddies and designated drivers, BUT YOUR BRAIN DOES.
Depressed people have a difficult time doing positive things for themselves, because they need to take their brain's messages -- "sleep in," "everybody hates us," or "nothing will change" -- and realize that their brain is mistaken. In other words, it's just making stuff up as it goes.
Sometimes it's really hard to deal with your drunk brain, because they are very passionate and convincing and have that weird drunk strength. But a responsible dom/me can help be yet another voice to overrule your drunk brain. They can be the voice that says "no, get to bed early," or "Your friends don't have you. Text three of them and send me proof. I bet they'll all be happy to hear from you."
s: "I never do anything right."
D: No, you only did this one thing wrong, And once I punish you, we will move on.
s: "I can't stand this."
D: No, it's just unpleasant at the moment.
s: "I'm overwhelmed. I can't figure out what I should be doing."
D: Well, that's what your domme's for.
These aren't the most inspiring examples, but it's what I could come up with here!
Subspace / pain / focus can also help combat your negative thoughts
From what I've heard from subs, a session can be a remarkably head-clearing experience -- in that they are forced to concentrate on one thing -- for instance, the current source of pain, the sound of their domme's voice, etc. You are forced to live in the moment, and simply observe your feelings and sensations as they go by. Even distance activities, like journals, or writing lines, or doing rituals, all give you a sort of singular focus. This can be very helpful if your depression comes with a lot of anxiety and negative thoughts.
This has less to do with dominance, and more to do with the dom/me you're serving.
But you and I know a lot of dommes don't really care about your mental state.
This is especially true in the case of online findoms, who are there to satisfy a particular kink of yours, and then move on. (Not that it's wrong -- dommes that you visit for an in-person session also aren't there to get to know you.) If you meet a findom that does seem to provide aftercare, or asks you questions about your life before or after a drain and who asks for your limits before the draining begins, then perhaps you have stumbled on the type of domme you could develop a healthy dynamic with. A domme willing to help you work on yourself as part of your submissive training.
Still, though, they can't 'dominate' you out of depression, just like a pill can't cure you of depression and a therapist can't talk you out of depression. Most of the work is going to be on you alone. Still, dommes have some unique advantages: they can punish you, and they can control when you get to cum. Those are very persuasive incentives to do what your dominant says -- assuming you truly care about her approval!