I've gone through bouts of depression since law school, something I was never prone to before. Law school has been fairly high stress for me at times, and generally I put a lot of pressure on myself to do well. The work can be overwhelming at times with the "extras" I'm doing (journal last year, and this year working on my comment for publication, an internship, and 4 classes), and it tends to make me depressed.
The best thing I've found for me is to learn to recognize when you start feeling depressed, and figure out something you can do that you enjoy, so you can change things up a bit and snap out of it.