Disease is caused by a variety of things. The physiological response to depression, stress, etc. doesn’t do good things to one’s immune system (unless you have some auto-immune diseases, in which stress increases activity). Depression also tends to reduce activities, interest in better eating, etc. In short, you are putting up less of a defense against pathogens, and providing less of what is needed to the defenses that are there. I wonder if you could disconnect the pathways between depression and the physiological aspect, would you see that correlation?