Can you die from depression?

In A Way, Yes: Depression itself can lead to death when a depressed person commits suicide. Also, people who struggle with long periods of depression tend to neglect their health, which can indirectly lead to shortened life spans.

Yes: Good question, with severe major depression, a person may die by suicide, or malnutrition and dehydration from refusing to eat and drink. Finally, in the case of a person whose spouse dies after, say, 50 yrs of marriage, the surviving spouse may "give up" and die soon after.