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.
At first glance, people may think that these are the same thing, but actually there is a slight difference where stress is a situation where someone feels their feelings are not right which can be caused by several factors and one of them is a sense of worry about unwanted things such as losing something which can also cause tension, while depression itself is a much more serious situation that makes someone feel sad and hopeless excessively. This means that before entering a situation of depression, someone like a gambler will first experience stress.
In the end, I think both of these things should not happen or not be experienced by a gambler when from the start they already know and understand their chances and are also aware of the risks that can occur, and this is why we are always advised to be responsible gamblers.