I believe praying for God to remove your major depressive disorder is about as effective as praying for Him to remove your diabetes. It may work – God can do anything, after all. I seriously doubt it is likely, however. With depression, it may even have a deleterious effect. If or when prayer doesn’t work, you are likely to blame yourself. The last thing a depressed person needs is more self-blame for situations beyond his or her control. As with diabetes, there are more effective means to treat depression than simply praying for God to take it away. If you have major depression due to faulty brain chemicals, maybe, just maybe God made you that way on purpose. I believe God wants us to love and help each other. Perhaps a better thing to pray for is that God reveal to you how to use your experience to help others who suffer. Does God want us to be happy? I can’t say. But I do recall that there where times when even Jesus was severely depressed [Matthew 26:38].
Love is not only pure joy, and delight, but also great and deep heaviness of heart and sorrow. But love too is full of joy and sweetness even in bitter sorrow, because it regards the misery and injury of others as its own. So also Christ was glowing with burning love in His last and greatest agony. According to St. Hilary, it was Christ's greatest joy that He endured the greatest woe. Thus God "giveth strength and power unto His people" (Ps. 68:15). While they experience the greatest sorrow, their hearts overflow with joy.