I think depression is a side effect, a result, of other unresolved negative emotions, and therefore goes hand-in-hand with most, if not all, of them. Unabated anxiety, fear, anger, chronic physical illness or pain, trauma, obsessions, resentment, etc ... even unspecified or situational issues and concerns ... and Depression.
When we feel burdoned, unable to cope, unable to change or manipulate our environment/relationships/life situation; our chemistry changes. It's not fight or flight anymore, it's sit and suffer. No hope. No light at the end of the tunnel. Just stuck.
Therapy can help us get a handle on underlying causes and deal with them. Medication can alter the chemistry so we can have the strength to make changes regarding bothersome issues. In both cases, we can regain the confidence to meet what life has dealt us. Depression then "lifts'" we have more positive days than negative, defeated days.
Short answer to short question... Yes, they often go hand in hand.