I suffered from mild depression my entire life I think, well, since about the age of 17 anyways. I like to think it's because of testosterone ruining what had previously been a delicate, but successful balance of hormones in my body pre-puberty. But anyways...
HRT has basically eliminated that depression. Now, whether that's because of the hormones, or because I've come out as trans to all my friends and family and can finally start LIVING the life I always should have been, I don't know. Drugs versus liberation, pick one, they both can be very therapeutic.
But again, everyone's situation is different. If your depression is caused by other factors, it probably won't help, might help a little, or could actually make things worse. You need to talk to a therapist or counselor or psychiatrist or psychologist, etc... They will be able to help you identify the root causes of your depression and figure out how to treat it, whether that's through HRT, other meds, or a combination of both. But be wary that estrogen can really wreak havoc with your mental state in some cases. Just be prepared for a possible roller coaster ride of emotions.

I finally feel happiness and joy like never before, but I also can feel utter sadness like never before as well, and both can easily bring me to tears, hehe.