Yes, I understand that depression is a very severe stage and it won't come at once if you are a new gambler but if you are not a responsible gambler, it is very easy for the gambler to lose his emotions and become depressed in life. Focus on other entertainment other than gambling for some time can be helpful in relaxing our mind and regrouping again to come back strongly in gambling with a strong emotion.
Depression doesn't occur to everyone, we often confuse stress with depression. When we lose money on something then it's normal to be sad and stressed but once the stress keeps building up then depression comes after the addiction if I am not wrong so anyone who felt sad no need to panic and this is mostly due to the self care professionals from social media who are not really having any medical degree.