As a gambler it's important to know how to control your emotions and discipline yourself, not just in the aspect of gambling but in every other area of life. 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, at that point you wouldn't mind if you are losing and you can keep going till you have nothing left all under the excuse of chasing your losses. I have had some experiences where I decided to gamble when I was emotionally down and I regretted my actions. Some cases are actually a psychological issue where gamblers knowingly try to make themselves sad by ruining their financial life consciously, this is rare but it happens. Don't engage in gambling when you are depressed, if you are looking for a distraction try to do something productive instead.
So, in what state should you gamble? In a neutral state? With cold calculation? But then it won't be entertainment anymore? It will become a kind of work: a continuous routine with only one goal to increase your deposit. After all, some gamblers play for the sake of enjoying the process, but what kind of fun can there be if you have to play focused and calculated. Of course, emotions will be unnecessary in achieving the goal (profit in gambling), but if you play to distract yourself from negative thoughts, can it be so bad? It seems to me that any activity can be "good" if you devote only some time to it (not full time) and only part of your deposit, as in the case of gambling. So the conclusion suggests itself that even with depression, you can devote a little time (and money) to gambling. You just don't need to have high expectations for the jackpot, but play for the sake of the process and fun. Because gambling is not only about losses, but also about wins, which can give positive emotions when this is not enough (during depression). The main thing is to set yourself a time limit and a deposit (for losing or winning).