Could depression brings to collapse?

Yes. Vaasovagal syncope or fainting spell is very common in people when they dont know how to deal with certain situations. If there is no other medical problem found is likely that "collapse" could be caused by the depression. Also if the depressed don't eat right may develop hypogycemias or dehydration contributing to the collapse.
Collapse means what? Phrases with common usage that might apply could be "nervous breakdown", "emotional collapse" to name two. Or "falling apart"? All those seem to imply being unable to function in a normal, productive fashion. If that is what is meant, it is important to find out what is behind the depression and what can be done to correct it. Talk to your doctor about it and get the help needed.