I was wondering are azoospermia and depression related?

Not directly: Azoospermia can be caused by low testosterone as well as by pituitary problems. Low testosterone and pituitary problems can cause depression. Also, having azoospermia can make a man depressed situationally. Otherwise there's no direct genetic link between between the two conditions that i was able to find. Perhaps one of my colleagues has found information to the contrary and i welcome their input.

Yes,...: No sperm in semen (azoospermia) is purely related with no sperm production and complete blockage of sperm transportation and passage from testis to ejaculatory ducts ; opening located at distal part of prostate urethra, called verumontanum. So, both are not related, but the effect of azoospermia may affect personal dream in fertility, indirectly resulting in depression in some.