Emotional instability caused by depression can lead to a whole lot of regretful actions. Gambling when you are having mixed emotions can cloud your judgment and also affect the decisions you make.
On the contrary, I can gamble, and sometimes I do when I'm depressed; the adrenaline rush pushes out the depression I'm feeling.
But I need to understand that I'm gambling not for money and only to forget what causes my depression. I agree that if you are gambling for money and you are depressed, that's the easiest way to lose your money, as it will cloud your judgement trying to win. Casinos are entertainment portals. If you are stressed, challenge yourself in a crash game and see the adrenaline rush that will make you forget your stress.