Well, MS itself can lead to depression, as can many of the therapies used to delay progression of the disease and the drugs used to treat symptoms. On top of that, you have to become accustomed to the new normal for you, which is always a challenge. I thought I handled it quite well upon my diagnosis 12+ years ago, but I was having erratic mood swings, so I entered talk therapy and was prescribed a mild antidepressant, both of which helped.
Despite that, however, when I had to leave work about 7 years ago because I was no longer able to maintain my position with integrity, I suffered a deep depression that lasted nearly 3 years. It took a change in attitude and seeing myself die slowly, one day at a time, to get past it. And, while I no longer participate in talk therapy, I'm still on the same antidepressant and I converse regularly with others who have MS and those who do not. I realize that I still have well over half my life remaining to live, and I want to suck every bit of marrow possible from that life.
What really helped me turn the corner, however, was learning what I could do with my body and pushing myself to be as active as possible. I am continually looking for new ways to expand my abilities and this helps me keep everything in check. And, when I do feel myself veering off into a depressive state, I talk with friends, I get out and walk, and I figure out how to be of service to others. Or, I eat chocolate or ice cream (smile).
One thing you should know, though, is that you're not alone in this. We all have different experiences, but we're all part of the magical, mystical journey in the MS Clubhouse, and we're all here for you.