The human brain is teeming with chemicals. Without getting into philosophical discussions, suffice it to say that it would appear to some that all thoughts and all emotions have their chemical counterparts that can be studied under the microscope. If you're not comfortable with this sort of reductionistic view of the psyche - relax. There is plenty we don't know and plenty of room for alternative or supplemental models of understanding. Two of the major chemical players in the brain when it comes to depression, are neurotransmitters known as serotonin and norepinephrine.
Stress seems to deplete the brain of serotonin.
The brain's nerve cells communicate with each other by way of long, wire-like structures that branch out from one nerve cell to touch many other neighboring cells. It is in this space between the two nerve cells where the chemical messages are sent and where one will find neurotransmitters like serotonin. Neurotransmitters, like serotonin, work something like the way keys fit into locks. On the one side of the synapse there's the neurotransmitter, or the key, and on the other side of the synapse there is the lock, known as the receptor site. Once a chemical is received it is eaten up by another chemical called an enzyme.