Usage Note
Deprimido is the past-participial adjective of deprimir and is used with estar (not ser) because it describes a temporary emotional state — está deprimido. The noun form depresión covers both clinical depression and a physical dip in terrain. Do not confuse with oprimido (oppressed), which looks similar.
Examples
"Se sintió deprimido después de las malas noticias."
Natural Translation
He felt depressed after the bad news.

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