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].
It is possible to pray in such a way that one does not transcend the world, in such a way that the divine is degraded to a functional part of the workaday world... then it is no longer devotion to the divine, but an attempt to master it.