Original article found here
An old study done in 1978 on psychiatric patients reported that there is a relationship between high caffeine consumption and worse depressive symptoms.
Another study published in 1981 looked at the caffeine consumption of college students and reported that compared to people who don't drink caffeine, students who drank had higher rates of anxiety and depression.
But this could be that people with depression drink more caffeine to get a boost of their energy or mood. I certainly am more prone to grab a diet soda on days that I'm not doing well but I have things I need to be doing. And a study in 2009 looking at the effects of caffeinated chewing gum seemed to support this idea. People who were given caffeinated gum seemed to be more alert and energetic.
And another study in 2008 seemed to back up this idea. Teens with depression were found to drink more caffeine but as treatment for for depression progressed, they drank less compared to those who did not get any treatment for depression.
More recently there has been articles claiming possible benefits of caffeine. The two articles by the same lead author in 2011 and 2012 concluded that people were less depressive and less suicidalthe more they drank caffeine.
This interesting study although done on mice, found that caffeine had decreased the effects of stressful situations.
This article in 2015 looked at 11 different studies and concluded that the risk of depression decreased with increase in caffeine consumption.
But there is one caveat, there does seem to be withdrawal symptoms from caffeine intake; not just headaches but depressive mood. So you might want to keep your caffeine consumption at a certain level daily. But this study in 1992 was done on "normal" adults. It might be different for people who have depression.
This article wrote in 2014 on the Mayo Clinic webpage seems to summarize the current idea between caffeine and depression.
When you think of China, Japan, and England where people drink tea, another source of caffeine, I think it will be difficult to claim that caffeine increases or even decreases depression. In China and Japan, people drink caffeinated tea all day and there isn't a epidemic of depression in either countries. Nor are they totally free from depression and suicide.