Is it possible for near drowning to lead to depression?

Absolutely!: Any major stressor--and near drowning definitely counts--can lead to a variety of reactions, including anxiety and depression. You don't say how long this has been going on, but speaking with a mental health professional would help to clarify what is happening. One possibility is post-traumatic stress disorder, in which depressed mood is often a common symptom.

Absolutely!: Especially if the near drowning event has evolved into post traumatic stress symptomatology. Psychotherapy may be of great benefit!

Near drown: Post traumatic symptoms of anxiety as well as depression.