It depends on the extent of the depression. If they are on medication and are doing well on it, it wouldn't be a problem. If they are having to be hospitalized because of it frequently, it may be a problem. Immigration calculates how much they would cost health care and if it is over a certain amount, they are considered excessive demand.
Excessive demand is however only an issue when the family is applying for immigration together. If one spouse is already a PR or Canadian and is sponsoring the other spouse and/or dependent children, excessive demand is not an issue.