The Battle for Mental Control
Ok... first I should make the statement here that having sexual fantasies does not generally result in depression, nor would anyone be clinically depressive if they had sexual fantasies.  But it's been my observation that depression of any kind can trigger certain kinds of sexual interests, which is the reason I am mentioning this relationship at all.  In order to determine how that works you have to dive into the root causes for depression... be it bi-polar, manic, clinical, etc.  As some of you may already know, certain kinds of depression are sometimes the result of a chemical imbalance in a portion of the brain.  Sometimes this imbalance is caused from a genetic defect, a physiological body change such as puberty or menopause could be a trigger, or an injury or physical trauma to the brain from disease.  Other types of depression are less chemical and more psychological.  Generally those levels of depression are the result of emotional trauma brought about by real life events... a death of a loved one, a personal near-death experience, assault, rape, physical and emotional abuse, etc.

We humans are very adaptive to survival and that includes how our minds will cope with levels of depression in order to maintain we follow our instincts to survive and procreate.  Whether depression is cause by a chemical imbalance or a life trauma the mind will try to find a way to cope.  Perhaps it's in the conscious suppression of feelings of anxiety and guilt through therapy.. avoiding situations that may bring out fear and apprehension... or in enhancing elements that give us pleasure, thus distracting the brain for a time.  The bottom line is that the mind is trying to compensate for the irregular thought processes.  The unfortunate part is that the individual themselves become their own battleground for mental control.  It's a war to keep sane with a battle fought with each rise and fall in mood swings.

How Does Sex And Sex Fantasies Fit In All This?
There are no hard and fast rules for completely understanding the causes of depression or how to treat the effects.  Each and every case is as different as the person.  But there are certain trends that can be observed.  Very generally speaking, one of the by-products of depression can be enhanced sexual activity.  In other words, sex (including masturbation) can be fun and feel good.  Nature gave us that much in order to help us to reproduce.  The process does tend to raise heart rates, bio-functions increase, hormones and endorphines are released, all causing the end rush of that elusive orgasm.  For those fleeting minutes the mind can be totally engrossed and re-focused away from any mental pain and anquish.  So it's natural with the increased sexual activity to develop fantasies that maximize the pleasure... whether the fantasies are shared in real life role play or part of mental masturbation images.  In effect, sex becomes a pain reliever.  As a result sometimes the frequent desire for sex is interpreted as loose promiscuity  or an addiction to sex itself (which can also be a true condition of and by itself, without the depression).

Depression Can Differ By Gender?
Depression can affect anyone regardless of gender.  Even with sexual abuse males can be affected as well as females (case in point, the recent revelations of Catholic priests sexually abusing young boys and girls for decades).  But the psych community does recognize that the trend for depression generally follows females on the average.  Their bodies undergo significant biological changes, sometimes relatively sudden, for various changes like puberty, menopause, and childbirth.  Shifting hormonal levels are a typical trigger for depression (like post-partem depression after childbirth).  Then there's real life events... bad marriages, divorce, economic hardship, and being homebound.  For example, studies have shown that in an unhappy marriage a female is three times more likely to develop a form of depression than a male.  In a happy marriage, while depression is much lower for both males and females in general, women are still five times more likely to develp depression than men.  Women, acting as caregivers to the frail and elderly, stand a 50% chance of reaching a level of depression.

According to the American Psychological Association's 1990 Task Force Report on Women and Depression, women "are truly more depressed than men, primarily due to their experience of being female in in our contemporary culture."  Passivity, dependence, and low self-esteem are what some psychologists call a "feminine personality".  Much of this is from theories that girls are taught helplessness at an early age and boys are taught mastery and self-reliance.  Another supportive theory is that women tend to dwell on feelings and moods while men take actions that distract them from their moods.

Sexual And Emotional Abuse... and Sex
Women also tend to be the primary targets of sexual and emotional abuse.  But regardless of either men or women
depression that comes from sexual abuse as a child, rape, assault, etc., can have its own levels of sexual expression.  Much of it is associated with low self-esteem and strong feelings of guilt.  It's not uncommon for a rape victim to have a mental sexual imagery of being raped.. re-living the crime, and achieving an orgasmic high.  Or re-living the tragic event as a way of self-punishment.  In many cases victims of abuse entertain more extreme sexual fantasies like bondage and S&M and other domination/submission fantasies.  Sometimes this can even include death fantasies; fantasies of being raped and murdered.  A common interest I have found are women who imagine themselves as being a murdered hooker; a 'slut' who was sexually abused and tossed in a dark alley or dumpster.  It would seem apparent that in many situations of depression from abuse that the fantasies of sex satisfy not only the relief of pain provided by an orgasm but also express the person's own low self-esteem and guilt.

Is There Anything Wrong With Sexual Fantasies Initiated By Depression?
That's a loaded question and hard to answer.  Obviously there is no overall encompassing answer.  Depression typically needs formal treatment.. that's a given as that affects a person's quality of life.  Sexual fantasies.. and sex itself,  can end up becoming obsessive and that also can affect a person's quality of life.  As with everything in life it seems that the secret is in achieving a balance.  The one troubling part to all this is that when someone truly wishes to get counseling and theraputic help it's hard to find a professional astute enough to meet the challenge in all cases.  Much of that is because the vast majority of scientific study in psychology and psychiatry is theory and extremely abstract and specific to the individual.  It's not like replacing someone's internal organ because we know how it's supposed to function correctly within the body.

Teens, Depression, And Sex
Let's face it, for most of us the teen years were tough years.  They don't call them the 'wonder years' for nothing.  Seemingly rebellious personal independence, peer pressure, social acceptance in the sub-culture, physical maturity of the body, raging hormones, gender expectations, and sexual curiosity and identity.  We've all been through it.  Now toss into the mix parental influence... the imposing of family customs, adult social morays in the 'real' world, religion, television, the media... trying to balance not pissing your folks off.  Oh wait, there's more.  How about tossing in academic work... the stress to pass, get good grades, meet deadlines in homework assignments, live up to your parents' academic expectations.  Then there's getting a job to get spending money to buy things that teens buy to express their individuality.. like music and clothes.   Money to go on dates and have parties with friends.   It's a damn 'wonder' any of us came out of those years unscathed.  But yet so many of us adults forget that lovely experience when it comes to understanding our own teens.

It's an unhappy sign of the times but us baby boomers have done a fairly good job in compounding the stress teens can experience these days... and for that matter, increasing our own stress.  Broken homes, both parents working, the demise of the nuclear family and quality time, family at the supper table, have all but gone by way of the gooney bird.  We've created a society based on fear, an economic system based on greed, a poltical system based on mistrust, and an educational system we've let deteriorate to be more like day care than academic learning.  It's less about loosing some implied religious morality and more about the absence of parental guidance and attention.

Teens of today are facing far greater stresses than we have ever faced... and far greater numbers of them becoming depressive and filled with anxiety.  Because us parents have been preoccupied with making money our kids have been seeking out each other for attention.   I am encountering more and more young people, females especially, who have been sexually abused thus adding to the overall stresses and inability to cope.  I find it even amazing that many of these young people have sexual interests and fantasies typically found well past their ages.  Do we blame the Internet?  Poor parenting?  Fast food?  There's no single answer.  But the fact remains that teens also have a developing, evolutionary interest and desire in sex and sexual fantasies.  The sad part is that many view their private thoughts and/or actions as feelings of guilt.. some even going so far as to consider suicide because they think their private thoughts are unique to them alone.

If you are a teen then realize this... there is NOTHING any person can imagine sexually, be it a fantasy or reality, that isn't shared by others.  You might think yourself sick for masturbating to imagery of one (or both) of your parents having sex with you.  You're not the only one.  You might be thinking erotic thoughts after visiting the wake of a dead fellow student who committed suicide.  You're not the only one.  You might be thinking erotic thoughts about good old Rover chained up in the back yard.  You're not the only one.  If you are already experiencing depression then realize that your sexual thoughts are part of who you are at this point in life.  Keep seeing a professional to try and gain balance and control of your life.  Your sexual thoughts are bound to evolve as time goes on.