I haven’t been clinically depressed, but I have been in deep grief after a loss. I was certainly able to LD then, in fact, the bad sleep quality at that time made it almost easier to become aware of dreams. It felt like my brain wouldn’t let itself rest. However, when becoming lucid, I would remember all the bad things, so lucid dreaming wasn’t something I actively tried to achieve then.
A family member went through a severe depression a few years ago. She is a natural lucid dreamer, had lucid dreams, but was still depressed in them from what she shared. It would take her hours to fall asleep because of heavy thoughts, so those lucid dreams usually came in naps in the day.